- Volume 21, Number 4 (2015), 2430-2456.
On ADF goodness-of-fit tests for perturbed dynamical systems
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.
Bernoulli, Volume 21, Number 4 (2015), 2430-2456.
Received: January 2014
Revised: June 2014
First available in Project Euclid: 5 August 2015
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Kutoyants, Yury A. On ADF goodness-of-fit tests for perturbed dynamical systems. Bernoulli 21 (2015), no. 4, 2430--2456. doi:10.3150/14-BEJ650. https://projecteuclid.org/euclid.bj/1438777600