On asymptotic distribution of parameter free tests for ergodic diffusion processes

DOI10.1007/S11203-014-9097-2MaRDI QIDQ398574zbMATH OpenOpenAlexFDO

Authors Yu. A. Kutoyants

Publication date 15 August 2014

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

Full work available at URL https://arxiv.org/abs/1302.1026

zbMATH Keywords

goodness of fit testergodic diffusion processasymptotically distribution freeCramér-von Mises tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60)

Abstract: We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the Ornstein-Uhlenbeck and simple switching processes. In this case we propose asymptotically parameter free tests of Cram'er-von Mises type. The basic hypothesis in the second problem is simple and we propose asymptotically distribution free tests for a wider class of trend coefficients.

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Cited in

(15)

• Goodness-of-fit test for switching diffusion
• Weak convergence of marked empirical processes in a Hilbert space and its applications
• Asymptotically distribution-free tests for the volatility function of a diffusion
• On APF test for Poisson process with shift and scale parameters
• On the goodness-of-fit testing for a switching diffusion process
• scientific article; zbMATH DE number 5164393 (Why is no real title available?)
• scientific article; zbMATH DE number 4028681 (Why is no real title available?)
• On Cramér-von Mises type test based on local time of switching diffusion process
• The Bickel--Rosenblatt test for diffusion processes
• On the goodness-of-fit testing for ergodic diffusion processes
• On score-functions and goodness-of-fit tests for stochastic processes
• On ADF goodness-of-fit tests for perturbed dynamical systems
• Adaptive testing method for ergodic diffusion processes based on high frequency data
• On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes
• On goodness-of-fit testing for ergodic diffusion process with shift parameter

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