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Some notes on goodness-of-fit tests and innovation martingales. (English) Zbl 0978.62038
Summary: A chi-square test for testing parametric hypotheses in terms of the innovation process is constructed. A new method allowing to obtain innovation martingales as well as a way of their obtaining in non-regular cases are proposed. Some priorities of this approach are discussed. One result simplifying transformations appearing in our method is given.

MSC:
62G10 Nonparametric hypothesis testing
60G44 Martingales with continuous parameter
62G30 Order statistics; empirical distribution functions
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