On Cramér-von Mises type test based on local time of switching diffusion process

DOI10.1016/j.jspi.2010.11.006zbMath1204.62079MaRDI QIDQ622427

Anis Gassem

Publication date: 31 January 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.006

zbMATH Keywords

Gaussian process; goodness-of-fit test; Karhunen-Loève expansion; Cramér-von Mises type test

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62M02: Markov processes: hypothesis testing

Cites Work

• Some problems of nonparametric estimation by observations of ergodic diffusion process
• Statistical inference for ergodic diffusion processes.
• Goodness-of-fit test for switching diffusion
• Karhunen-Loève expansions of mean-centered Wiener processes
• Computation of Distribution Functions of Quadratic Forms of Normally Distributed Random Variables
• 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
• Stochastic Calculus
• An Explicit Representation of a Stationary Gaussian Process
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