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

Maroua Ben Abdeddaiem ()
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Maroua Ben Abdeddaiem: Université du Maine

Statistical Inference for Stochastic Processes, 2016, vol. 19, issue 3, No 1, 259-287

Abstract: 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.

Keywords: Goodness-of-fit test; Minimum distance estimator; Asymptotically distribution free tests (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11203-016-9132-6

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