A test for model specification of diffusion processes

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dc.contributor.authorChen, S.
dc.contributor.authorGao, J.
dc.contributor.authorCheng, Y.
dc.date.issued2008
dc.description.abstractWe propose a test for model specification of a parametric diffusion process based on a kernel estimation of the transitional density of the process. The empirical likelihood is used to formulate a statistic, for each kernel smoothing bandwidth, which is effectively a Studentized L2-distance between the kernel transitional density estimator and the parametric transitional density implied by the parametric process. To reduce the sensitivity of the test on smoothing bandwidth choice, the final test statistic is constructed by combining the empirical likelihood statistics over a set of smoothing bandwidths. To better capture the finite sample distribution of the test statistic and data dependence, the critical value of the test is obtained by a parametric bootstrap procedure. Properties of the test are evaluated asymptotically and numerically by simulation and by a real data example.
dc.description.statementofresponsibilitySong Xi Chen, Jiti Gao and Cheng Yong Tang
dc.description.urihttp://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.aos/1201877298
dc.identifier.citationAnnals of Statistics, 2008; 36(1):167-198
dc.identifier.doi10.1214/009053607000000659
dc.identifier.issn0090-5364
dc.identifier.urihttp://hdl.handle.net/2440/56872
dc.language.isoen
dc.publisherInst Mathematical Statistics
dc.source.urihttps://doi.org/10.1214/009053607000000659
dc.subjectBootstrap
dc.subjectdiffusion process
dc.subjectempirical likelihood
dc.subjectgoodness-of-fit test
dc.subjecttime series
dc.subjecttransitional density
dc.titleA test for model specification of diffusion processes
dc.typeJournal article
pubs.publication-statusPublished

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