Goodness of fit test for small diffusions by discrete time observations
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DOI: 10.1007/s10463-009-0228-2
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- Gobet, Emmanuel & Hoffmann, Marc & Reiß, Markus, 2002. "Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed," SFB 373 Discussion Papers 2002,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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Keywords
Small diffusion process; Discrete time observations; Asymptotically distribution free test;All these keywords.
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