No. 1071

Title:

Two sample test for counting processes with a non-linear covariate

Author(s):

Nishiyama, Yoichi (The Institute of Statistical Mathematics)

Key words:

Counting process, invariance principle, martingale, metric entropy, two sample test, weak convergence

Abstract:

    We consider a non-linear model $ \alpha(Z_{t}) $ of the intensity of counting processes with a covariate $ Z $. Given two processes, we test whether the functions $ \alpha^{(p)} $ for $ p=1,2 $ are the same or not. We present an asymptotically distribution free test and prove its consistency.