%0 Journal Article %A WANG Jun %A CHEN Ping %T A Test for Diffusion Model Based on Multi-Dimensional Tail Condition Expectations %D 2018 %R 10.3969/j.issn.1001-4268.2018.02.002 %J CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS %P 135-144 %V 34 %N 2 %X

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.

%U http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2018.02.002