Goodness of fit test for small diffusions by discrete time observations

Annals of the Institute of Statistical Mathematics

Volumn 63, Issue 2, 2011, Pages 211-225

  Negri, Ilia ^a   Nishiyama, Yoichi ^b  

^a UNIVERSITY OF BERGAMO   (Italy)

^b INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

Author keywords

Asymptotically distribution free test; Discrete time observations; Small diffusion process

Indexed keywords

DISCRETE TIME OBSERVATION; DISTRIBUTION-FREE; DISTRIBUTION-FREE TEST; DRIFT COEFFICIENT; GOODNESS-OF-FIT TEST; LIMIT DISTRIBUTION; NON-PARAMETRIC; SMALL DIFFUSION; SUPREMUM; TESTING PROCEDURE;

BROWNIAN MOVEMENT; DIFFUSION;

TESTING;

EID: 79960096624     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-009-0228-2     Document Type: Article

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