On the goodness-of-fit testing for a switching diffusion process

DOI10.1016/J.CRMA.2011.06.010MaRDI QIDQ639631zbMATH OpenOpenAlexFDO

Authors Anis Gassem

Publication date 22 September 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2011.06.010

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60)

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Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• scientific article; zbMATH DE number 890348 (Why is no real title available?)
• scientific article; zbMATH DE number 3421754 (Why is no real title available?)
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• Goodness-of-fit test for switching diffusion
• On parameter estimation for switching ergodic diffusion processes
• Statistical inference for ergodic diffusion processes.
• Statistical tests based on empirical processes and related questions
• Testing Statistical Hypotheses

Cited in

(5)

• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Goodness-of-fit tests in two-state processes
• On Cramér-von Mises type test based on local time of switching diffusion process
• Goodness of fit test for ergodic diffusions by tick time sample scheme
• Goodness-of-fit test for switching diffusion

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