Goodness of fit test for ergodic diffusion processes

Ilia Negri*, Yoichi Nishiyama

*この研究の対応する著者

研究成果: Article査読

20 被引用数 (Scopus)

抄録

A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test statistic is studied under the null hypothesis and it is proved that the limit process is a continuous Gaussian process. The structure of its covariance function allows to calculate the limit distribution and it turns out that it is a function of a standard Brownian motion and so exact rejection regions can be constructed. The proposed test is asymptotically distribution free and it is consistent under any simple fixed alternative.

本文言語English
ページ(範囲)919-928
ページ数10
ジャーナルAnnals of the Institute of Statistical Mathematics
61
4
DOI
出版ステータスPublished - 2009 12月
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率

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