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

DOI10.3150/14-BEJ650MaRDI QIDQ888487zbMATH OpenFDO

Authors Yu. A. Kutoyants

Publication date 30 October 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.7713, https://projecteuclid.org/euclid.bj/1438777600

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)

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.

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Cites work

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Cited in

(6)

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

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