A Method of Goodness-of-Fit Test for Stochastic Processes

摘要

A method of goodness-of-fit test for stochastic processes from time seqeuence 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-lit test of them is enabled.