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Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE
| Content Provider | Semantic Scholar |
|---|---|
| Author | Lee, Sangyeol Masuda, Hiroki |
| Copyright Year | 2008 |
| Abstract | In this paper, we study the Jarque–Bera test for a class of univariate parametric stochastic differential equations (SDE) dXt = b(Xt, α)dt + dZt, constructed based on the sample observed at discrete time points $${t^{n}_{i}=ih_{n}}$$ , i = 1, 2, . . . , n, where Z is a nondegenerate Lévy process with finite moments and h is a sequence of positive real numbers with nhn → ∞ and $${nh_{n}^{2} \to 0}$$ as n → ∞. It is shown that under proper conditions, the Jarque–Bera test statistic based on the Euler residuals can be used to test for the normality of the unobserved Z and the proposed test is consistent against the presence of any nontrivial jump components. Our result indicates that the Jarque–Bera test is easy to implement and asymptotically distribution-free with no fine-tuning parameters. Simulation results to validate the test are given for illustration. |
| Starting Page | 147 |
| Ending Page | 161 |
| Page Count | 15 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/s11203-010-9043-x |
| Volume Number | 13 |
| Alternate Webpage(s) | https://page-one.springer.com/pdf/preview/10.1007/s11203-010-9043-x |
| Alternate Webpage(s) | https://catalog.lib.kyushu-u.ac.jp/opac_download_md/12555/MI2008-10.pdf |
| Alternate Webpage(s) | http://gcoe-mi.jp/english/temp/publish/b61c3d31851e8c74bd70ff719b5c4a9c.pdf |
| Alternate Webpage(s) | http://gcoe-mi.jp/temp/publish/cfd3d778167dc1759272619781cac444.pdf |
| Alternate Webpage(s) | https://doi.org/10.1007/s11203-010-9043-x |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
