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Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE

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  • Sangyeol Lee
  • Hiroki Masuda

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  • Sangyeol Lee & Hiroki Masuda, 2010. "Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE," Statistical Inference for Stochastic Processes, Springer, vol. 13(2), pages 147-161, June.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:2:p:147-161
    DOI: 10.1007/s11203-010-9043-x
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    References listed on IDEAS

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    1. Veretennikov, A. Yu., 1997. "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
    2. Bera, Anil K. & Yoon, Mann J., 1993. "Specification Testing with Locally Misspecified Alternatives," Econometric Theory, Cambridge University Press, vol. 9(4), pages 649-658, August.
    3. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    4. Lee, Sangyeol, 2006. "The Bickel-Rosenblatt test for diffusion processes," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1494-1502, August.
    5. Horváth, Lajos & Zitikis, Ričardas, 2006. "Testing Goodness Of Fit Based On Densities Of Garch Innovations," Econometric Theory, Cambridge University Press, vol. 22(3), pages 457-482, June.
    6. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
    7. Bera, Anil K. & Jarque, Carlos M., 1981. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals : Monte Carlo Evidence," Economics Letters, Elsevier, vol. 7(4), pages 313-318.
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