Goodness-of-fit tests for perturbed dynamical systems

DOI10.1016/J.JSPI.2010.11.005zbMATH Open1207.62098arXiv0903.4612OpenAlexW2962737173MaRDI QIDQ629093FDOQ629093

Authors: Yu. A. Kutoyants 

Publication date: 8 March 2011

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

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.

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

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zbMATH Keywords

goodness-of-fitdiffusion processhypotheses testingKolmogorov-Smirnov[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Cram%EF%BF%BD%EF%BF%BDr-von+Mises&go=Go Cram��r-von Mises]small noise asymptoticschi-square tests

Mathematics Subject Classification ID

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

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Cited In (7)

• Goodness-of-fit tests for system components with random redundancy levels
• Goodness of fit in nonlinear dynamics: misspecified rates or misspecified states?
• On score-functions and goodness-of-fit tests for stochastic processes
• 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
• On ADF goodness-of-fit tests for perturbed dynamical systems
• Implementation of Kolmogorov–SmirnovP-value computation in Visual Basic®: implication for Microsoft Excel® library function

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