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RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
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 Title & Authors
RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
Lee, Sang-Yeol; Wee, In-Suk;
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 Abstract
In this paper, we study the asymptotic behavior of the residual empirical process from diffusion processes. For this task, adopting the discrete sampling scheme as in Florens-Zmirou [9], we calculate the residuals and construct the residual empirical process. It is shown that the residual empirical process converges weakly to a Brownian bridge.
 Keywords
diffusion process;discrete scheme;residual empirical process;weak convergence to a Brownian bridge;model check test;
 Language
English
 Cited by
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