On ADF goodness-of-fit tests for perturbed dynamical systems

DOI10.3150/14-BEJ650zbMATH Open1341.60099arXiv1403.7713MaRDI QIDQ888487FDOQ888487

Authors: Yu. A. Kutoyants 

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider the problem of the construction of the goodness-of-fit tests for diffusion processes with small noise. The basic hypothesis is composite parametric and our goal is to obtain asymptotically distribution free tests. We propose two solutions. The first one is based on the change of time and the second test we obtain with the help of some linear transformation of the "natural" statistics.

Full work available at URL: https://arxiv.org/abs/1403.7713

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zbMATH Keywords

goodness-of-fit testsdiffusion processesasymptotically distribution free testsperturbed dynamical systemsCramér-von Mises tests

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
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• Goodness-of-fit tests for perturbed dynamical systems

Cited In (6)

• How to test that a given process is an Ornstein-Uhlenbeck process
• On threshold choice in hypothesis testing for dynamical systems with small noise
• 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
• Goodness-of-fit tests for perturbed dynamical systems
• Semiparametric hypotheses testing for dynamical systems with small noise

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