Goodness-of-Fit Tests for Perturbed Dynamical Systems

Details Goodness-of-Fit Tests for Perturbed Dynamical Systems Goodness-of-Fit Tests for Perturbed Dynamical Systems

2009-03-26

arxiv.org/abs/0903.4612v1

Mathematics

Statistics Theory

Scientific paper

We consider the goodness of fit testing problem for stochastic differential equation with small diffiusion coefficient. The basic hypothesis is always simple and it is described by the known trend coefficient. We propose several tests of the type of Cramer-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 and the possibility of the construction of asymptotically distribution free tests in the case of composite basic hypothesis.

Affiliated with

Also associated with

No associations

Rating

Goodness-of-Fit Tests for Perturbed Dynamical Systems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Goodness-of-Fit Tests for Perturbed Dynamical Systems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Goodness-of-Fit Tests for Perturbed Dynamical Systems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-64982