formula of simulation proccss by In this paper, we employ monmnt generating function to obtain some exact transition probability of inlmigration-birth-death（IBD） model and discuss the of sample path and statistical ...formula of simulation proccss by In this paper, we employ monmnt generating function to obtain some exact transition probability of inlmigration-birth-death（IBD） model and discuss the of sample path and statistical inference with complete observations of the IBD the exact transition density formula.展开更多
In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the gen...In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.展开更多
基金Supported by the Fundamental Research Funds for the Central Universities(JBK120405)
文摘formula of simulation proccss by In this paper, we employ monmnt generating function to obtain some exact transition probability of inlmigration-birth-death（IBD） model and discuss the of sample path and statistical inference with complete observations of the IBD the exact transition density formula.
基金Supported by the Quantitative Finance Foundation of Southwestern University of Finance and Economics
文摘In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.
