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

Abstract

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.