Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE
نویسندگان
چکیده
منابع مشابه
Jarque-Bera Normality Test for the Driving Lévy Process of a Discretely Observed Univariate SDE
We study the validity of the Jarque-Bera test for a class of univariate parametric stochastic differential equations (SDE) dXt = b(Xt, α)dt+ dZt observed at discrete time points t n i = ihn, i = 1, 2, . . . , n, where Z is a nondegenerate Lévy process with finite moments, and nhn → ∞ and nhn → 0 as n → ∞. Under appropriate conditions it is shown that Jarque-Bera type statistics based on the Eul...
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ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2010
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-010-9043-x