On the Goodness-of-Fit Testing for Ergodic Diffusion Processes

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dc.creatorKutoyants, Yury A.
dc.date2009-03-26
dc.date.accessioned2026-07-07T12:57:02Z
dc.date.available2026-07-07T12:57:02Z
dc.descriptionWe 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 study the asymptotic distribution of the Cramer-von Mises type tests based on the empirical distribution function and local time estimator of the invariant density. At particularly, we propose a transformation which makes these tests asymptotically distribution free. We discuss the modifications of this test in the case of composite basic hypothesis.
dc.identifierhttps://arxiv.org/abs/0903.4550
dc.identifierhttp://arxiv.org/abs/0903.4550
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/224789
dc.subjectStatistics Theory
dc.subjectProbability
dc.subjectMethodology
dc.titleOn the Goodness-of-Fit Testing for Ergodic Diffusion Processes
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