Goodness-of-Fit Test in Multivariate Jump Diffusion Models
作者： Shulin Zhang , Qian M Zhou , Dongming Zhu , Peter X-K Song , None
DOI: 10.1080/07350015.2017.1321547
关键词: Pearson's chi-squared test 、 Restricted maximum likelihood 、 Mathematics 、 Test statistic 、 Likelihood principle 、 Jump diffusion 、 Goodness of fit 、 Statistics 、 Likelihood-ratio test 、 Score test
摘要: In this article, we develop a new goodness-of-fit test for multivariate jump diffusion models. The statistic is constructed by contrast between an “in-sample” likelihood (or of ...
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