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NONPARAMETRIC TESTS OF THE MARKOV HYPOTHESIS IN CONTINUOUS-TIME MODELS
Markov hypothesis Chapman–Kolmogorov equation locally linear smoother transition density diffusion
2014/3/13
We propose several statistics to test the Markov hypothesis forβ-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman–Kolmogorov equation. We establish th...
A Simulation Test for Continuous-Time Models
Continuous-time model Dynamic probability integral transform Generalized residuals Monte Carlo integration Simulation Transition density
2011/4/6
In this article, we propose a simulation method to implement Hong and Li’s (2005) transition density based test for continuous-time models. The idea is to simulate a sequence of dynamic probability in...
Estimating Continuous-Time Models Using Discretely Sampled Data
Continuous-Time Models Discretely Sampled Data
2014/3/13
Estimating Continuous-Time Models Using Discretely Sampled Data.
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.