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

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dc.creatorDachian, Serguei
dc.creatorKutoyants, Yury A.
dc.date2009-03-26
dc.date.accessioned2026-07-07T12:57:08Z
dc.date.available2026-07-07T12:57:08Z
dc.descriptionWe 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.
dc.description22 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/0903.4642
dc.identifierhttp://arxiv.org/abs/0903.4642
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/224823
dc.subjectStatistics Theory
dc.titleOn the Goodness-of-Fit Tests for Some Continuous Time Processes
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