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On asymptotic distribution of parameter free tests for ergodic diffusion processes

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  • Yury Kutoyants

Abstract

We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the Ornstein–Uhlenbeck and simple switching processes. In this case we propose asymptotically parameter free tests of Cramér-von Mises type. The basic hypothesis in the second problem is simple and we propose asymptotically distribution free tests for a wider class of trend coefficients. Copyright Springer Science+Business Media Dordrecht 2014

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  • Yury Kutoyants, 2014. "On asymptotic distribution of parameter free tests for ergodic diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 139-161, July.
    • Handle: RePEc:spr:sistpr:v:17:y:2014:i:2:p:139-161
    DOI: 10.1007/s11203-014-9097-2
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    1. Ilia Negri & Yoichi Nishiyama, 2009. "Goodness of fit test for ergodic diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(4), pages 919-928, December.
    2. Yury Kutoyants, 2010. "On the goodness-of-fit testing for ergodic diffusion processes," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(4), pages 529-543.
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    Cited by:

    1. Dabye, A.S. & Kutoyants, Yu.A. & Tanguep, E.D., 2019. "On APF test for Poisson process with shift and scale parameters," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 28-36.

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