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On asymptotic distribution of parameter free tests for ergodic diffusion processes

  • Yury A. KutoyantsEmail author
Article

Abstract

We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the Ornstein–Uhlenbeck and simple switching processes. In this case we propose asymptotically parameter free tests of Cramér-von Mises type. The basic hypothesis in the second problem is simple and we propose asymptotically distribution free tests for a wider class of trend coefficients.

Keywords

Cramér-von Mises tests Ergodic diffusion process  Goodness of fit test Asymptotically distribution free 

Mathematics Subject Classfication (2000)

62M02 62G10 62G20 

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Copyright information

© Springer Science+Business Media Dordrecht 2014

Authors and Affiliations

  1. 1.Laboratoire de Statistique et ProcessusUniversité du MaineLe Mans Cédex 9France
  2. 2.Laboratory of Quantitive Finance, Higher School of EconomicsNational Research UniversityMoscowRussia

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