Martin, Vance; Nishiyama, Yoshihiko; Stachurski, John - College of Business and Economics, Australian National … - 2011
We introduce a goodness of fit test for ergodic Markov processes. Our test compares the data against the set of stationary densities implied by the class of models specified in the null hypothesis, and rejects if no model in the class yields a stationary density that matches with the data. No...
