Nonparametric Transition-Based Tests for Jump Diffusions
基于转移分布的跳跃扩散非参数检验
We develop a specification test for the transition density of a discretely sampled continuous-time jump-diffusion process, based on a comparison of a nonparametric estimate of the transition density or distribution function with their corresponding parametric counterparts assumed by the null hypothesis. As a special case, our method applies to pure diffusions. We provide a direct comparison of the two densities for an arbitrary specification of the null parametric model…