Goodness-of-Fit Test for Self-Exciting Processes
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Recently there have been many research efforts in developing generative models for self-exciting point processes, partly due to their broad applicability for real-world applications, notably self- and mutual- exciting point processes. However, rarely can we quantify how well the generative model captures the nature or ground-truth since it is usually unknown. The challenge typically lies in the fact that the generative models typically provide, at most, good approximations to the ground-truth (e.g., through the rich representative power of neural networks), but they cannot be precisely the ground-truth. We thus cannot use the classic goodness-of-fit test framework to evaluate their performance. In this paper, we provide goodness-of-fit tests for generative models by leveraging a new connection of this problem with the classical statistical theory of mismatched maximum-likelihood estimator (MLE). We present a non-parametric self-normalizing test statistic for the goodness-of-fit test based on Generalized Score (GS) statistics. We further establish asymptotic properties for MLE of the Quasi-model (Quasi-MLE), asymptotic χ^2 null distribution and power function of GS statistic. Numerical experiments validate the asymptotic null distribution as well as the consistency of our proposed GS test.
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