Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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ON THE GOODNESS OF FIT TEST FOR DISCRETELY OBSERVED SAMPLE FROM DIFFUSION PROCESSES: DIVERGENCE MEASURE APPROACH

  • Received : 2009.01.08
  • Published : 2010.11.01
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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

References

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