Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10525104 | Journal of Statistical Planning and Inference | 2011 | 12 Pages |
Abstract
We consider the goodness-of-fit testing problem for stochastic differential equation with small diffusion coefficient. The basic hypothesis is always simple and it is described by the known trend coefficient. We propose several tests of the type of Cramér-von Mises, Kolmogorov-Smirnov and Chi-Square. The power functions of these tests we study for a special classes of close alternatives. We discuss the construction of the goodness-of-fit test based on the local time.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Yury A. Kutoyants,