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ON THE GOODNESS OF FIT TEST FOR DISCRETELY OBSERVED SAMPLE FROM DIFFUSION PROCESSES: DIVERGENCE MEASURE APPROACH
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 Title & Authors
ON THE GOODNESS OF FIT TEST FOR DISCRETELY OBSERVED SAMPLE FROM DIFFUSION PROCESSES: DIVERGENCE MEASURE APPROACH
Lee, Sang-Yeol;
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 Abstract
In this paper, we study the divergence based goodness of fit test for partially observed sample from diffusion processes. In order to derive the limiting distribution of the test, we study the asymptotic behavior of the residual empirical process based on the observed sample. It is shown that the residual empirical process converges weakly to a Brownian bridge and the associated phi-divergence test has a chi-square limiting null distribution.
 Keywords
diffusion process;discretely observed sample;residual empirical process;weak convergence to a Brownian bridge;goodness of fit test;phi-divergence test;
 Language
English
 Cited by
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