On the goodness-of-fit testing for ergodic diffusion processes

DOI10.1080/10485250903359564zbMath1189.62138arXiv0903.4550OpenAlexW2964262854MaRDI QIDQ3569218

Yury A. Kutoyants

Publication date: 18 June 2010

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.4550

zbMATH Keywords

diffusion processgoodness-of-fithypotheses testingergodic diffusionCramér-von Mises type tests

Mathematics Subject Classification ID

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

Related Items (8)

An updated review of goodness-of-fit tests for regression models ⋮ On asymptotic distribution of parameter free tests for ergodic diffusion processes ⋮ Goodness-of-fit tests for perturbed dynamical systems ⋮ On identification of the threshold diffusion processes ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ On goodness-of-fit testing for ergodic diffusion process with shift parameter ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ A nonparametric specification test for the volatility functions of diffusion processes

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• Minimax Detection of a Signal In a Gaussian White Noise
• Testing Statistical Hypotheses

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