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arXiv · 1606.05167

On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator

Maroua Ben Abdeddaiem
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Abstract

We consider the problem of the construction of the Goodness-of-Fit test in the case of continuous time observations of a diffusion process with small noise. The null hypothesis is parametric and we use a minimum distance estimator of the unknown parameter. We propose an asymptotically distribution free test for this model.

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Maroua Ben Abdeddaiem. 2016-06-16. On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator. https://doi.org/10.1007/s11203-016-9132-6

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