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A specification test of stochastic diffusion models

A specification test of stochastic diffusion models In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

A specification test of stochastic diffusion models

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Publisher
Springer Journals
Copyright
Copyright © 2013 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-013-0226-2
Publisher site
See Article on Publisher Site

Abstract

In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: May 10, 2013

References