کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
415812 | 681240 | 2012 | 13 صفحه PDF | دانلود رایگان |
We develop a hypothesis testing approach to checking model misspecification on parametric structures in continuous-time stochastic diffusion models. The key idea behind the development of our test statistic is rooted in a ratio of two types of information matrices, the negative sensitivity matrix and the variability matrix, in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we compare the proposed approach with several currently popular methods and show that our approach is advantageous in the aspects of type I error control, power improvement as well as computational efficiency. Two real-world data examples are included to illustrate the practical use of our proposed testing procedure.
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 12, December 2012, Pages 3975–3987