Nonparametric Transition-Based Tests for Jump Diffusions

doi:10.1198/jasa.2009.tm08198

CORC > 上海财经大学 > 上海财经大学

	Nonparametric Transition-Based Tests for Jump Diffusions
	Ait-Sahalia, Yacine 1; Fan, Jianqing 2,3; Peng, Heng 4
刊名	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
	2009-09
卷号	104 期号:487 页码:1102-1116
关键词	Generalized likelihood ratio test Jump diffusion Local linear fit Markovian process Null distribution Specification test Transition density
ISSN号	0162-1459
DOI	10.1198/jasa.2009.tm08198
英文摘要	We develop a specification test for the transition density of a discretely sampled continuous-time jump-diffusion process, based on a comparison of a nonparametric estimate of the transition density or distribution function with their corresponding parametric counterparts assumed by the null hypothesis. As a special case. our method applies to pure diffusions. We provide a direct comparison of the two densities for an arbitrary specification of the null parametric model using three different discrepancy measures between the null and alternative transition density and distribution functions. We establish the asymptotic null distributions of proposed test statistics and compute their power functions. We investigate the finite-sample properties through simulations and compare them with those of other tests. This article has supplementary material online.
WOS研究方向	Mathematics
语种	英语
出版者	AMER STATISTICAL ASSOC
WOS记录号	WOS:000270916100024
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2453]
专题	上海财经大学
通讯作者	Ait-Sahalia, Yacine
作者单位	1.Princeton Univ, Dept Econ, Princeton, NJ 08544 USA; 2.Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA; 3.Shanghai Univ Finance & Econ, Shanghai, Peoples R China; 4.Hong Kong Baptist Univ, Dept Math, Kowloon Tong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Ait-Sahalia, Yacine,Fan, Jianqing,Peng, Heng. Nonparametric Transition-Based Tests for Jump Diffusions[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2009,104(487):1102-1116.
APA	Ait-Sahalia, Yacine,Fan, Jianqing,&Peng, Heng.(2009).Nonparametric Transition-Based Tests for Jump Diffusions.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,104(487),1102-1116.
MLA	Ait-Sahalia, Yacine,et al."Nonparametric Transition-Based Tests for Jump Diffusions".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 104.487(2009):1102-1116.