Goodness-of-fit test for switching diffusion

DOI10.1007/s11203-010-9040-0zbMath1209.62102OpenAlexW2027848728MaRDI QIDQ2430994

Anis Gassem

Publication date: 8 April 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9040-0

zbMATH Keywords

asymptotic propertiesGaussian processesBessel functionsconsistent testsKarhunen-Loève expansionCramér-von Mises tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Markov processes: hypothesis testing (62M02)

Related Items

On Cramér-von Mises type test based on local time of switching diffusion process, On the goodness-of-fit testing for a switching diffusion process, Karhunen-Loève expansion for a generalization of Wiener bridge

Cites Work

• On parameter estimation for switching diffusion process
• Statistical inference for ergodic diffusion processes.
• Statistical tests based on empirical processes and related questions
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• On parameter estimation for switching ergodic diffusion processes
• Testing Statistical Hypotheses
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