DocumentCode
504733
Title
A method of goodness-of-fit test for stochastic processes
Author
Honda, Hirotada
Author_Institution
Dept. of Math., Keio Univ., Yokohama, Japan
fYear
2009
fDate
18-21 Aug. 2009
Firstpage
5090
Lastpage
5094
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;
fLanguage
English
Publisher
ieee
Conference_Titel
ICCAS-SICE, 2009
Conference_Location
Fukuoka
Print_ISBN
978-4-907764-34-0
Electronic_ISBN
978-4-907764-33-3
Type
conf
Filename
5334466
Link To Document