On Asymptotic Distribution of Parameter Free tests for Ergodic Diffusion Processes
arXiv:1302.1026
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.
26 pages