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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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참고문헌 (26)
참고문헌 신청
A. N. Shiryayev / 1999 / Essentials of Stochastic Finance, Facts, models, theory In: Advanced Series on Statistical Science & Applied Probability
B. L. S. Prakasa Rao / 1999 / Statistical Inference for Diffusion Type Processes, Kendall’s Library of Statistics / Oxford University Press : 8 ~
D. Florens-Zmirou / 1989 / Approximate discrete-time schemes for statistics of diffusion processes / Statistics 20 (4) : 547 ~ 557
D. Hong / 2003 / Convergence of jump-diffusion models to the Black-Scholes model / Stochastic Analysis and Applications 21 (1) : 141 ~ 160
E. Eberlin / 1999 / Term structure models driven by general Levy processes / mathematical finance 9 (1) : 31 ~ 53
B. L. S. Prakasa Rao / 1999 / Statistical Inference for Diffusion Type Processes, Kendall’s Library of Statistics / Oxford University Press : 8 ~
D. Florens-Zmirou / 1989 / Approximate discrete-time schemes for statistics of diffusion processes / Statistics 20 (4) : 547 ~ 557
D. Hong / 2003 / Convergence of jump-diffusion models to the Black-Scholes model / Stochastic Analysis and Applications 21 (1) : 141 ~ 160
E. Eberlin / 1999 / Term structure models driven by general Levy processes / mathematical finance 9 (1) : 31 ~ 53
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