On asymptotic distribution of parameter free tests for ergodic diffusion processes

DOI10.1007/S11203-014-9097-2zbMATH Open1333.62195arXiv1302.1026OpenAlexW2080454540MaRDI QIDQ398574FDOQ398574

Authors: Yu. A. Kutoyants 

Publication date: 15 August 2014

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

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.

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

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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)

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Cited In (15)

• Weak convergence of marked empirical processes in a Hilbert space and its applications
• Adaptive testing method for ergodic diffusion processes based on high frequency data
• On APF test for Poisson process with shift and scale parameters
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• On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes
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