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Consider \\(H_0: F=F_0\\) and a family of alternatives \\(H_n: F=F^{(\\delta/\\sqrt{n})}\\), where \\(F^{(\\tau)}\\) is contiguous to \\(F^{(0)}=F_0\\) with density \\(f^{(\\tau)}\\) with respect to \\(F_0\\), and such that there exists an \\(L^2(R^d,dF_0)\\) function \\(k=k(x)\\) satisfying  \\[ \\| \\frac{1}{\\tau}(\\sqrt{f^{(\\tau)}}-1) -\\frac{k}{2}\\|_{L^2}\\to 0\\;\\text{as} \\tau \\to 0. \\]  The aim of the paper is the construction of goodness-of-fit tests based on signed measures \\(\\hat{w}_x\\) (\\(x\\in R^d\\)) such that the following holds:   \\((a)\\) When \\(x\\) is replaced by a random variable \\(X\\), the resulting measure \\(\\hat{w}_X(A)\\) evaluated on any measurable set \\(A\\) is a random variable; \\((b)\\) The measure \\(\\hat{w}_n=n^{-1/2}\\sum_{k=1}^{n}\\hat{w}_{X_k}\\) associated with the sample has some normalized limit distribution under \\(H_0\\); \\((c)\\) The asymptotic distributions of \\(\\hat{w}_n\\) under \\(H_n\\) and \\(H_0\\) differ as much as possible.   These random measures will be called a \\textit{transformed empirical processes} (in short: TEP). They play, in the construction of goodness-of-fit tests, the same role as the empirical processes in classical Kolmogorov-Smirnov tests. The resulting tests are consistent against any fixt alternative, and, for each sequence of contiguous alternatives, a test in each class can be chosen so as to optimize the discrimination of those 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