On ADF goodness-of-fit tests for perturbed dynamical systems

Yury A. Kutoyants

doi:10.3150/14-BEJ650

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Home > Journals > Bernoulli > Volume 21 > Issue 4 > Article

November 2015 On ADF goodness-of-fit tests for perturbed dynamical systems

Yury A. Kutoyants

Bernoulli 21(4): 2430-2456 (November 2015). DOI: 10.3150/14-BEJ650

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Abstract

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 “natural” statistics.

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Yury A. Kutoyants. "On ADF goodness-of-fit tests for perturbed dynamical systems." Bernoulli 21 (4) 2430 - 2456, November 2015. https://doi.org/10.3150/14-BEJ650