New goodness-of-fit tests and their application to nonparametric confidence sets
New goodness-of-fit tests and their application to nonparametric confidence sets
Suppose one observes a process V on the unit interval, where $dV = f_o + dW$ with an unknown parameter $f_o \epsilon L_1[0, 1]$ and standard Brownian motion W. We propose a particular test of one-point hypotheses about $f_o$ which is based on suitably standardized increments of V. This test …