On the Goodness-of-Fit Tests for Some Continuous Time Processes

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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 noise, ergodic diffusion process, Poisson process and self-exciting point processes. For every model we propose the tests which provide the asymptotic size $α$ and discuss the behaviour of the power function under local alternatives. The results of numerical simulations of the tests are presented.
22 pages, 2 figures

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Statistics Theory

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http://salesiana.dossiersoluciones.com/handle/123456789/224823

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0903.4642
 http://arxiv.org/abs/0903.4642

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arXiv