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Residual empirical process for diffusion processes
- Authors
- Lee, Sangyeol; Wee, In-Suk
- Issue Date
- 5월-2008
- Publisher
- KOREAN MATHEMATICAL SOC
- Keywords
- diffusion process; discrete scheme; residual empirical process; weak convergence to a Brownian bridge; model check test
- Citation
- JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY, v.45, no.3, pp.683 - 693
- Indexed
- SCIE
SCOPUS
KCI
- Journal Title
- JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY
- Volume
- 45
- Number
- 3
- Start Page
- 683
- End Page
- 693
- ISSN
- 0304-9914
- 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.
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