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

DOI10.1016/j.jspi.2010.11.006zbMath1204.62079OpenAlexW2078671350MaRDI 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 processgoodness-of-fit testKarhunen-Loève expansionCramér-von Mises type test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

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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