On score-functions and goodness-of-fit tests for stochastic processes

DOI10.3103/S1066530716020022zbMATH Open1349.62376arXiv1403.7715OpenAlexW2964232824MaRDI QIDQ324614FDOQ324614

Authors: Yu. A. Kutoyants 

Publication date: 17 October 2016

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Abstract: The problems of the construction of the asymptotically distribution free goodness-of-fit tests for three models of stochastic processes are considered. The null hypothesis for all models is composite parametric. All tests are based on the score-function processes, where the unknown parameter is replaced by the MLE. We show that a special change of time transforms the limit score-function processes into the Brownian bridge. This property allows us to construct the asymptotically distribution free tests for the following three models of stochastic processes : dynamical systems with small noise, ergodic diffusion processes, inhomogeneous Poisson processes and nonlinear AR time series.

Full work available at URL: https://arxiv.org/abs/1403.7715

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zbMATH Keywords

dynamical systemsgoodness-of-fit testsasymptotically distribution free testsergodic diffusion processFisher-score statisticsmall noise

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

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Cited In (8)

• Weak convergence of marked empirical processes in a Hilbert space and its applications
• On the multi-step MLE-process for ergodic diffusion
• Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
• Goodness-of-fit tests for centralized Wishart processes
• Goodness-of-fit tests based on quadratic functionals of transformed empirical processes
• On asymptotic distribution of parameter free tests for ergodic diffusion processes
• On ADF goodness-of-fit tests for perturbed dynamical systems
• Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study

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