Weak convergence of marked empirical processes in a hilbert space and its applications

Koji Tsukuda, Yoichi Nishiyama

Research output: Contribution to journalArticlepeer-review

Abstract

We discuss goodness-of-fit tests for stationary ergodic processes based on limit theorems for marked empirical processes viewed as elements of an L2 space. Our limit theorems cover a weighted process that enables an Anderson–Darling-type test statistic for the goodness-of-fit tests to be proposed. The procedures presented for these goodness-of-fit tests are novel.

Original languageEnglish
Pages (from-to)3914-3938
Number of pages25
JournalElectronic Journal of Statistics
Volume14
Issue number2
DOIs
Publication statusPublished - 2020

Keywords

  • Diffusion process
  • Goodness-of-fit test
  • Nonlinear time series
  • Weak convergence in Hilbert space

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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