Residual empirical process for diffusion processes

Sangyeol Lee; In Suk Wee

doi:10.4134/JKMS.2008.45.3.683

Residual empirical process for diffusion processes

Sangyeol Lee, In Suk Wee

* Honorary professors

Research output: Contribution to journal › Article › peer-review

11 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 language	English
Pages (from-to)	683-693
Number of pages	11
Journal	Journal of the Korean Mathematical Society
Volume	45
Issue number	3
DOIs	https://doi.org/10.4134/JKMS.2008.45.3.683
Publication status	Published - 2008 May

Keywords

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

ASJC Scopus subject areas

Mathematics(all)

Access to Document

10.4134/JKMS.2008.45.3.683

Cite this

@article{5473181733a14e8d9c1b48abc646271b,

title = "Residual empirical process for diffusion processes",

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.",

keywords = "Diffusion process, Discrete scheme, Model check test, Residual empirical process, Weak convergence to a Brownian bridge",

author = "Sangyeol Lee and Wee, {In Suk}",

year = "2008",

month = may,

doi = "10.4134/JKMS.2008.45.3.683",

language = "English",

volume = "45",

pages = "683--693",

journal = "Journal of the Korean Mathematical Society",

issn = "0304-9914",

publisher = "Korean Mathematical Society",

number = "3",

}

TY - JOUR

T1 - Residual empirical process for diffusion processes

AU - Lee, Sangyeol

AU - Wee, In Suk

PY - 2008/5

Y1 - 2008/5

N2 - 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.

AB - 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.

KW - Diffusion process

KW - Discrete scheme

KW - Model check test

KW - Residual empirical process

KW - Weak convergence to a Brownian bridge

UR - http://www.scopus.com/inward/record.url?scp=43649095721&partnerID=8YFLogxK

U2 - 10.4134/JKMS.2008.45.3.683

DO - 10.4134/JKMS.2008.45.3.683

M3 - Article

AN - SCOPUS:43649095721

SN - 0304-9914

VL - 45

SP - 683

EP - 693

JO - Journal of the Korean Mathematical Society

JF - Journal of the Korean Mathematical Society

IS - 3

ER -

Residual empirical process for diffusion processes

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this