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Goodness-of-fit tests for parametric nonhomogeneous Markov processes

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Abstract

Tests for parametric nonhomogeneous and homogeneous Markov processes are given. Asymptotic distribution of test statistics is investigated. Tests for various well-known models are discussed as examples.

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Authors and Affiliations

  1. Department of Mathematical statistics, Vilnius University, Vilnius, Lithuania

    V. Bagdonavičius

  2. UFR Sciences and Modelization, University of Bordeaux-2, Bordeaux, France

    M. S. Nikulin

  3. Sankt Petersburg State Politechnical University, Petersburg, Russia

    M. S. Nikulin

Authors
  1. V. Bagdonavičius
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  2. M. S. Nikulin
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Correspondence to M. S. Nikulin.

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Bagdonavičius, V., Nikulin, M.S. Goodness-of-fit tests for parametric nonhomogeneous Markov processes. Metrika 77, 185–209 (2014). https://doi.org/10.1007/s00184-013-0477-1

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  • DOI: https://doi.org/10.1007/s00184-013-0477-1

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