On asymptotic distribution of parameter free tests for ergodic diffusion processes

Yury Kutoyants ()

Statistical Inference for Stochastic Processes, 2014, vol. 17, issue 2, 139-161

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. Copyright Springer Science+Business Media Dordrecht 2014

Keywords: Cramér-von Mises tests; Ergodic diffusion process; Goodness of fit test; Asymptotically distribution free; 62M02; 62G10; 62G20 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11203-014-9097-2

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