A test for model specification of diffusion processes
نویسندگان
چکیده
منابع مشابه
A Test for Model Specification of Diffusion Processes
This paper evaluates the use of the nonparametric kernel method for testing specification of diffusion models as originally considered in Aı̈t-Sahalia (1996). A serious doubt on the ability of the kernel method for diffusion model testing has been cast in Pritsker (1998), who observes severe size distortion of the test proposed by Aı̈t-Sahalia and finds that 2755 years of data are required in ord...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2008
ISSN: 0090-5364
DOI: 10.1214/009053607000000659