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Residual empirical process for diffusion processes

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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.

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.

참고문헌 (31)

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