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RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES

  • Lee, Sang-Yeol (Department of Statistics Seoul National University) ;
  • Wee, In-Suk (Department of Mathematics Korea University)
  • Published : 2008.05.31

Abstract

In this paper, we study the asymptotic behavior of the residual empirical process from diffusion processes. For this task, adopting the discrete sampling scheme as in Florens-Zmirou [9], we calculate the residuals and construct the residual empirical process. It is shown that the residual empirical process converges weakly to a Brownian bridge.

Keywords

References

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