In this paper stochastic integrals with respect to the basic martingale are approximated by Gaussian processes. The probability inequalities governing this approximation are used to study goodness-of-fit tests based on sublinear functionals of weighted versions of these stochastic integrals. As special cases of these tests, generalized rank and supremum-type tests are considered.
Publié le : 1992-03-14
Classification:
Random censoring,
stochastic integrals,
approximation,
goodness-of-fit tests,
62G10,
60F15,
60H05
@article{1176348531,
author = {Koning, Alex J.},
title = {Approximation of Stochastic Integrals with Applications to Goodness-of-Fit Tests},
journal = {Ann. Statist.},
volume = {20},
number = {1},
year = {1992},
pages = { 428-454},
language = {en},
url = {http://dml.mathdoc.fr/item/1176348531}
}
Koning, Alex J. Approximation of Stochastic Integrals with Applications to Goodness-of-Fit Tests. Ann. Statist., Tome 20 (1992) no. 1, pp. 428-454. http://gdmltest.u-ga.fr/item/1176348531/