Abstract
The paper deals with a test procedure able to state the compatibility of observed data with a reference model, by using an estimate of the volumetric part in the small-ball probability factorization which plays the role of a real complexity index. As a preliminary by-product we state some asymptotics for a new estimator of the complexity index. A suitable test statistic is derived and, referring to the U-statistics theory, its asymptotic null distribution is obtained. A study of level and power of the test for finite sample sizes and a comparison with a competitor are carried out by Monte Carlo simulations. The test procedure is performed over a financial time series.
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