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arXiv · 1302.1026

On Asymptotic Distribution of Parameter Free tests for Ergodic Diffusion Processes

Yury A. Kutoyants
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Abstract

We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the Ornstein-Uhlenbeck and simple switching processes. In this case we propose asymptotically parameter free tests of Cramér-von Mises type. The basic hypothesis in the second problem is simple and we propose asymptotically distribution free tests for a wider class of trend coefficients.

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Yury A. Kutoyants. 2013-02-05. On Asymptotic Distribution of Parameter Free tests for Ergodic Diffusion Processes. https://arxiv.org/abs/1302.1026

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