APPROXIMATION OF STOCHASTIC INTEGRALS WITH APPLICATIONS TO GOODNESS-OF-FIT TESTS

• 成果类型: Article
• 署名作者: KONING, AJ
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176348531
• 发表日期: 1992
• 页码: 428-454
• 关键词: asymptotic properties; survival-data; statistics; l1-norm

摘要

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.