Goodness of fit of stochastic differential equations
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by Jakob Bak, Henrik Aalborg Nielsen, Henrik Madsen
http://www.jakob.bak.com/GoodFitSDE.ps
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Abstract:
We propose a method to test for lack-of-fit of an estimated stochastic differential equation. The method is based on Monte Carlo simulation of trajectories between neighbour observations and, thus, it does not rely on the availability of explicit expressions of the conditional densities. Consequently, both non-linear models and models with state-dependent drift and diffusion can be handled. The method is illustrated by an example. 1
Citations
| 4 | Maximum Likelihood Estimation of Discretely Sampled Di#usions: A Closed-form Approximation Approach – At-Sahalia - 1998 |
| 2 | Nonparametric methods in finance – Bak - 1998 |
| 2 | Inference and Relationship – Kendall, Stuart - 1979 |
| 1 | Statistics in Finance – Madsen, Nielsen - 1998 |
