On Asymptotic Distribution of Parameter Free tests for Ergodic Diffusion Processes
Statistics Theory
2013-02-06 v1 Statistics Theory
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 Cram\'er-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.
Cite
@article{arxiv.1302.1026,
title = {On Asymptotic Distribution of Parameter Free tests for Ergodic Diffusion Processes},
author = {Yury A. Kutoyants},
journal= {arXiv preprint arXiv:1302.1026},
year = {2013}
}
Comments
26 pages