Goodness-of-fit tests for perturbed dynamical systems

DOI10.1016/J.JSPI.2010.11.005MaRDI QIDQ629093zbMATH OpenOpenAlexFDO

Authors Yu. A. Kutoyants

Publication date 8 March 2011

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

Full work available at URL https://arxiv.org/abs/0903.4612

zbMATH Keywords

goodness-of-fitdiffusion processhypotheses testingKolmogorov-Smirnovsmall noise asymptoticschi-square testsCramér-von Mises

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Inference from stochastic processes (62M99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider the goodness of fit testing problem for stochastic differential equation with small diffiusion coefficient. The basic hypothesis is always simple and it is described by the known trend coefficient. We propose several tests of the type of Cramer-von Mises, Kolmogorov-Smirnov and Chi-Square. The power functions of these tests we study for a special classes of close alternatives. We discuss the construction of the goodness of fit test based on the local time and the possibility of the construction of asymptotically distribution free tests in the case of composite basic hypothesis.

Recommendations

• On ADF goodness-of-fit tests for perturbed dynamical systems
• On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator
• Statistical Tests for Lyapunov Exponents of Deterministic Systems
• scientific article; zbMATH DE number 1302587
• Semiparametric hypotheses testing for dynamical systems with small noise
• Goodness of fit test for ergodic diffusion processes
• Testing nonlinear Markovian hypotheses in dynamical systems
• Goodness-of-fit tests for system components with random redundancy levels

Cites work

• scientific article; zbMATH DE number 3826915 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• scientific article; zbMATH DE number 3421754 (Why is no real title available?)
• Local time and density estimation in continuous time
• Minimax Detection of a Signal In a Gaussian White Noise
• Nonparametric goodness-of-fit testing under Gaussian models
• Nonparametric hypothesis testing for intensity of the Poisson process
• On the goodness-of-fit testing for ergodic diffusion processes
• Semiparametric hypotheses testing for dynamical systems with small noise
• Some problems of nonparametric estimation by observations of ergodic diffusion process
• Statistical inference for ergodic diffusion processes.
• Testing Statistical Hypotheses

Cited in

(7)

• Implementation of Kolmogorov–SmirnovP-value computation in Visual Basic®: implication for Microsoft Excel® library function
• Goodness of fit in nonlinear dynamics: misspecified rates or misspecified states?
• Goodness-of-fit tests for system components with random redundancy levels
• On score-functions and goodness-of-fit tests for stochastic processes
• On ADF goodness-of-fit tests for perturbed dynamical systems
• On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator
• On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes

This page was built for publication: Goodness-of-fit tests for perturbed dynamical systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q629093)