Goodness of fit test for ergodic diffusion processes
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Abstract: A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test statistic is studied under the null hypotheses and it is proved that the limit process is a continuous Gaussian process. The structure of its covariance function allows to calculate the limit distribution and it turns out that it is a function of a standard Brownian motion and so exact reject regions can be constructed. The proposed test is asymptotically distribution free and it is consistent under any simple fixed alternative.
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Cited in
(28)- Goodness-of-fit testing for fractional diffusions
- On goodness-of-fit testing for ergodic diffusion process with shift parameter
- Weak convergence of marked empirical processes in a Hilbert space and its applications
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- How to test that a given process is an Ornstein-Uhlenbeck process
- On the goodness-of-fit testing for ergodic diffusion processes
- Empirical‐process‐based specification tests for diffusion models
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- On score-functions and goodness-of-fit tests for stochastic processes
- On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator
- On asymptotic distribution of parameter free tests for ergodic diffusion processes
- On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes
- Some problems in nonparametric inference for the stress release process related to the local time
- On the goodness-of-fit testing for a switching diffusion process
- Goodness-of-fit tests for perturbed dynamical systems
- On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach
- A model specification test for nonlinear stochastic diffusions with delay
- Goodness of fit test for small diffusions by discrete time observations
- Divergences test statistics for discretely observed diffusion processes
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Asymptotically distribution free test for parameter change in a diffusion process model
- An updated review of goodness-of-fit tests for regression models
- On identification of the threshold diffusion processes
- Goodness-of-fit test for switching diffusion
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