A martingale approach for testing diffusion models based on infinitesimal operator
基于无穷小生成算子的扩散模型鞅检验方法
I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a "martingale hypothesis" for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the "martingale hypothesis" via a multivariate generalized spectral derivative based approach that delivers a N(0,1) asymptotical null…