On the choice of the smoothing parameter for the BHEP goodness-of-fit test

DOI10.1016/j.csda.2008.09.002zbMath1452.62322OpenAlexW2146766869MaRDI QIDQ961230

Carlos Tenreiro

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/80929

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15)

Related Items

Fourier methods for analyzing piecewise constant volatilities, Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function, Tests for circular symmetry of complex-valued random vectors, An updated review of goodness-of-fit tests for regression models, Testing for spherical symmetry via the empirical characteristic function, A statistical test for the hypothesis of Gaussian random function, The probability weighted characteristic function and goodness-of-fit testing, A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families, Testing normality in any dimension by Fourier methods in a multivariate Stein equation, Nonparametric probability weighted empirical characteristic function and applications, On the automatic selection of the tuning parameter appearing in certain families of goodness-of-fit tests, On the goodness-of-fit procedure for normality based on the empirical characteristic function for ranked set sampling data, Tests for symmetry based on the integrated empirical process, A Monte Carlo evaluation of the performance of two new tests for symmetry, An affine invariant multiple test procedure for assessing multivariate normality, Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function, Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations, Monitoring changes in the error distribution of autoregressive models based on Fourier methods, Testing the adequacy of semiparametric transformation models, Asymptotic theory for the test for multivariate normality by Cox and Small, Testing for the generalized normal-Laplace distribution with applications, CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS, Asymptotics, finite-sample comparisons and applications for two-sample tests with functional data, Goodness-of-fit tests in semi-linear models, Data transformations and goodness-of-fit tests for type-II right censored samples, A Class of Goodness-of-fit Tests Based on Transformation, Inference procedures for the variance gamma model and applications, A Non‐parametric <scp>ANOVA</scp>‐type Test for Regression Curves Based on Characteristic Functions, Goodness-of-fit tests for multivariate Laplace distributions, On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence, Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics, Diagnostic tests for the distribution of random effects in multivariate mixed effects models, Self-consistency-based tests for bivariate distributions, Inferential procedures based on the integrated empirical characteristic function, Monitoring procedures for strict stationarity based on the multivariate characteristic function, Fourier–type tests involving martingale difference processes

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A comparative study of goodness-of-fit tests for multivariate normality
• The meta-elliptical distributions with given marginals
• Two tests for multivariate normality based on the characteristic function
• Consistency of some tests for multivariate normality
• A goodness-of-fit test for normality based on polynomial regression
• A consistent test for multivariate normality based on the empirical characteristic function
• On efficiency and optimality of quadratic tests
• Two-sample test statistics for measuring discrepancies between two multivariate probability density functions using kernel-based density estimates
• A new approach to the BHEP tests for multivariate normality
• Extreme smoothing and testing for multivariate normality
• On some global measures of the deviations of density function estimates
• On the asymptotic behaviour of location-scale invariant Bickel-Rosenblatt tests
• Some new tests for normality based on U-processes
• A comparison of various tests of normality
• Recent and classical tests for normality - a comparative study
• On the Bahadur slope of the Lilliefors and the Cramér–von Mises tests of normality
• A New Family of Probability Distributions With Applications to Monte Carlo Studies
• A class of invariant consistent tests for multivariate normality
• Asymptotic Efficiency of Nonparametric Tests
• An approximate method for generating asymmetric random variables
• Adaptive Smoothing and Density-Based Tests of Multivariate Normality
• On tests for multivariate normality and associated simulation studies
• A Monte Carlo comparison of the Type I and Type II error rates of tests of multivariate normality
• Rates of Convergence of Estimates and Test Statistics
• Stochastic Comparison of Tests
• A test for normality based on the empirical characteristic function
• Local power properties of kernel based goodness of fit tests