Title :
A method of goodness-of-fit test for stochastic processes
Author_Institution :
Dept. of Math., Keio Univ., Yokohama, Japan
Abstract :
A method of goodness-of-fit test for stochastic processes from time sequence values of a sample path is discussed in this paper. Based on the Fokker-Plank equation of the stochastic process and transform of the coordinate system, observed values at each time are mapped to those generated from the same probability density function. Applying AD statistics and bootstrap method, goodness-of-fit test of them is enabled.
Keywords :
Fokker-Planck equation; statistical analysis; stochastic processes; AD statistics; Fokker-Plank equation; bootstrap method; goodness-of-fit test; probability density function; stochastic processes; time seqeuence values; Stochastic processes; Testing; Fokker-Plank equation; Goodness-of-fit test; Stochastic process;
Conference_Titel :
ICCAS-SICE, 2009
Conference_Location :
Fukuoka
Print_ISBN :
978-4-907764-34-0
Electronic_ISBN :
978-4-907764-33-3
