Residual empirical process for diffusion processes

Sangyeol Lee, In-Suk Wee

Research output: Contribution to journalArticle

10 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)683-693
Number of pages11
JournalJournal of the Korean Mathematical Society
Volume45
Issue number3
Publication statusPublished - 2008 May 1

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Empirical Process
Diffusion Process
Discrete Sampling
Brownian Bridge
Asymptotic Behavior
Converge
Calculate

Keywords

  • Diffusion process
  • Discrete scheme
  • Model check test
  • Residual empirical process
  • Weak convergence to a Brownian bridge

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Residual empirical process for diffusion processes. / Lee, Sangyeol; Wee, In-Suk.

In: Journal of the Korean Mathematical Society, Vol. 45, No. 3, 01.05.2008, p. 683-693.

Research output: Contribution to journalArticle

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