arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 0903.4642math.STstat.TH
收藏

关于连续时间过程的拟合优度检验

On the Goodness-of-Fit Tests for Some Continuous Time Processes

Serguei Dachian, Yury A. Kutoyants

摘要:

我们提出了一个审查的几个结果有关建设的Cramer-von Mises和Kolmogorov-Smirnov型拟合优度检验的连续时间过程。模型为小噪声随机微分方程、遍历扩散过程、泊松过程和自激点过程。对于每一个模型,我们提出的测试提供的渐近大小$α$,并讨论了当地的替代品下的幂函数的行为。给出了试验的数值模拟结果。

英文摘要:

We present a review of several results concerning the construction of the Cramer-von Mises and Kolmogorov-Smirnov type goodness-of-fit tests for continuous time processes. As the models we take a stochastic differential equation with small noise, ergodic diffusion process, Poisson process and self-exciting point processes. For every model we propose the tests which provide the asymptotic size $α$ and discuss the behaviour of the power function under local alternatives. The results of numerical simulations of the tests are presented.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑