On ADF goodness-of-fit tests for perturbed dynamical systems
We consider the problem of construction of goodness-of-fit tests for diffusion processes with a small noise. The basic hypothesis is composite parametric and our goal is to obtain asymptotically distribution-free tests. We propose two solutions. The first one is based on a change of time, and the se...
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| Veröffentlicht in: | Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability 2015-11, Vol.21 (4), p.2430-2456 |
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| container_issue | 4 |
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| container_title | Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability |
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| creator | KUTOYANTS, YURY A. |
| description | We consider the problem of construction of goodness-of-fit tests for diffusion processes with a small noise. The basic hypothesis is composite parametric and our goal is to obtain asymptotically distribution-free tests. We propose two solutions. The first one is based on a change of time, and the second test is obtained using a linear transformation of the "naturar" statistics. |
| doi_str_mv | 10.3150/14-BEJ650 |
| format | Article |
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| ispartof | Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2015-11, Vol.21 (4), p.2430-2456 |
| issn | 1350-7265 1573-9759 |
| language | eng |
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| source | JSTOR Mathematics & Statistics; JSTOR Archive Collection A-Z Listing; EZB-FREE-00999 freely available EZB journals; Project Euclid Complete |
| subjects | asymptotically distribution free test Cramér–von Mises tests diffusion processes goodness of fit test perturbed dynamical systems |
| title | On ADF goodness-of-fit tests for perturbed dynamical systems |
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