1. Department of Mathematical statistics, Vilnius University, Vilnius, Lithuania 2. UFR Sciences and Modelization, University of Bordeaux-2, Bordeaux, France 3. Sankt Petersburg State Politechnical University, Petersburg, Russia
Abstract:
Tests for parametric nonhomogeneous and homogeneous Markov processes are given. Asymptotic distribution of test statistics is investigated. Tests for various well-known models are discussed as examples.