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초록
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.
키워드
diffusion process; discrete scheme; residual empirical process; weak convergence to a Brownian bridge; model check test; PARAMETER CHANGE; WEAK-CONVERGENCE; LEVY PROCESSES; TIME-SERIES; MODELS; DRIVEN
- 제목
- Residual empirical process for diffusion processes
- 저자
- Lee, Sangyeol; Wee, In-Suk
- 발행일
- 2008-05
- 유형
- Article
- 저널명
- 대한수학회지
- 권
- 45
- 호
- 3
- 페이지
- 683 ~ 693