Related papers: Goodness-of-Fit Tests for Perturbed Dynamical Syst…
We present a review of several results concerning the construction of the Cramer-von Mises and Kolmogorov-Smirnov type goodness-of-fit tests for continuous time processes. As the models we take a stochastic differential equation with small…
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…
We consider the goodness of fit testing problem for linear stochastic differential equation (Ornstein-Uhlenbeck process). The basic hypothesis is supposed to be composite with two-dimensional unknown parameter. We study two goodness of fit…
We consider the goodness of fit testing problem for ergodic diffusion processes. The basic hypothesis is supposed to be simple. The diffusion coefficient is known and the alternatives are described by the different trend coefficients. We…
We consider the problem of the construction of the Goodness-of-Fit test in the case of continuous time observations of a diffusion process with small noise. The null hypothesis is parametric and we use a minimum distance estimator of the…
We consider goodness-of-fit tests for the distribution of the composed error in Stochastic Frontier Models. The proposed test statistic utilizes the characteristic function of the composed error term, and is formulated as a weighted…
This paper introduces a novel goodness-of-fit test technique for parametric conditional distributions. The proposed tests are based on a residual marked empirical process, for which we develop a conditional Principal Component Analysis. The…
Testing hypotheses of goodness-of-fit about mixture distributions on the basis of independent but not necessarily identically distributed random vectors is considered. The hypotheses are given by a specific distribution or by a family of…
We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional small diffusions. Our test is based on discrete observation of the processes, and the diffusion coefficient is a nuisance function which…
We introduce a new statistical test based on the observed spacings of ordered data. The statistic is sensitive to detect non-uniformity in random samples, or short-lived features in event time series. Under some conditions, this new test…
We consider the problem of goodness-of-fit testing for a model that has at least one unknown parameter that cannot be eliminated by transformation. Examples of such problems can be as simple as testing whether a sample consists of…
Given an i.i.d. sample drawn from a density $f$, we propose to test that $f$ equals some prescribed density $f_0$ or that $f$ belongs to some translation/scale family. We introduce a multiple testing procedure based on an estimation of the…
A problem of goodness-of-fit test for ergodic diffusion processes is presented. In the null hypothesis the drift of the diffusion is supposed to be in a parametric form with unknown shift parameter. Two Cramer-Von Mises type test statistics…
We consider a multivariable functional errors-in-variables model $AX\approx B$, where the data matrices $A$ and $B$ are observed with errors, and a matrix parameter $X$ is to be estimated. A goodness-of-fit test is constructed based on the…
This paper studies the goodness of fit test for the bivariate Hermite distribution. Specifically, we propose and study a Cram\'er-von Mises-type test based on the empirical probability generation function. The bootstrap can be used to…
A goodness-of-fit test for one-parameter count distributions with finite second moment is proposed. The test statistic is derived from the $L^1$ distance of a function of the probability generating function of the model under the null…
We revisit the Kolmogorov-Smirnov and Cram\'er-von Mises goodness-of-fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variables. We show that the dependence leads to a reduction of the…
We consider the goodness-of-fit testing problem of distinguishing whether the data are drawn from a specified distribution, versus a composite alternative separated from the null in the total variation metric. In the discrete case, we…
It is well known that the approximate distribution of the usual test statistic of a goodness-of-fit test is chi-square, with degrees of freedom equal to the number of categories minus 1 (assuming that no parameters are to be estimated --…
A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test statistic is studied under the null hypotheses…