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J. Korean Math. Soc. 2008; 45(3): 683-693
Printed May 1, 2008
Copyright © The Korean Mathematical Society.
Residual empirical process for diffusion processes
Sangyeol Lee and In-Suk Wee
Seoul National University, Korea University
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: diffusion process, discrete scheme, residual empirical process, weak convergence to a Brownian bridge, model check test
MSC numbers: 60J60, 62F12
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