Cox process goodness-of-fit test. A Matlab file.

Abstract

The Cox Process (CP) models many real phenomena dealing with counting data. Having observed sample paths of a counting process in a discrete set of time points and assuming that the phenomenon can be modeled by a Cox process or compound Cox process, an important task is to decide if those paths fit a given model. A goodnes-of-fit test to assess the coherence of the new observed data with the given Cox process has been proposed by the authors, taking into account if the process is parametrically known or it has to be estimated. This paper deals with a computational tool to support the test.