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A Test for Diffusion Model Based on Multi-Dimensional Tail Condition Expectations |
WANG Jun, CHEN Ping |
School of Science, Nanjing University of Science and Technology, Nanjing, 210094, China |
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Abstract In order to solve the problem of testing multidimensional diffusion models, we develop a test statistic based on Multi-Dimensional Tail Condition Expectations (CTEs). Although it is almost impossible to estimate the transition density matrix of a multidimensional diffusion model directly, the transition density of each component can be estimated and each component can be combined by the CTE to establish a true multidimensional statistics. Finally, the performance of the test is evaluated through simulation.
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