Related papers: Goodness of fit test for ergodic diffusion process…
Consider a random sample from a continuous multivariate distribution function $F$ with copula $C$. In order to test the null hypothesis that $C$ belongs to a certain parametric family, we construct an empirical process on the unit hypercube…
Logistic regression is widely used to model the propensity score in the analysis of nonignorable missing data. However, goodness-of-fit testing for this propensity score model has received limited attention in the literature. In this paper,…
New goodness-of-fit tests for Markovian models in time series analysis are developed which are based on the difference between a fully nonparametric estimate of the one-step transition distribution function of the observed process and that…
It is argued that a diffusion may be ergodic even though the drift field has unbounded outward-directed parts. The discussion employs stochastic and numerical methods.
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
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…
We study sequences of scaled edge-corrected empirical (generalized) K-functions (modifying Ripley's K-function) each of them constructed from a single observation of a $d$-dimensional fourth-order stationary point process in a sampling…
The paper discusses a test for the hypothesis that a random sample comes from the Cauchy distribution. The test statistics is derived from a characterization and is based on the characteristic function. Properties of the test are discussed…
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary…
We propose some parametric tests for ergodic diffusion-plus-noise model, which is a version of state-space modelling in statistics for stochastic diffusion equations. The test statistics are classified into three types:…
A general theory of efficient estimation for ergodic diffusion processes sampled at high frequency with an infinite time horizon is presented. High frequency sampling is common in many applications, with finance as a prominent example. 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…
We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an…
The Gaussian graphical model is routinely employed to model the joint distribution of multiple random variables. The graph it induces is not only useful for describing the relationship between random variables but also critical for…
We consider the problem of frequency estimation by observations of the periodic diffusion process possesing ergodic properties in two different situations. The first one corresponds to continuously differentiable with respect to parameter…
A general and relatively simple method for construction of multivariate goodness-of-fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions…
Testing procedures for assessing a parametric regression model with circular response and $\mathbb{R}^d$-valued covariate are proposed and analyzed in this work both for independent and for spatially correlated data. The test statistics are…
We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics, related to the so called $\phi$-divergence measures. By taking into account the…
We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and drift parameters in ergodic diffusion models. When any…
Suppose we have an observed path from a point process counting event occurrences in a large population. Based on the observed path, we would like to test the null hypothesis that the conditional intensity of the point process belongs to a…