Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit (Q1208660)
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English | Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit |
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Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit (English)
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16 May 1993
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Two statistics of goodness of fit, closely related to the Cramér-von Mises (CVM) statistic \(C^ 2_ n\) and the Neyman smooth statistic \(T_{n,m}\) are derived here from the standpoint of nonparametric density estimation. It is shown that as \(n\) and \(m\) tend to infinity and \(T_{n,m}\) is recentered and rescaled appropriately, it will have a normal limiting distribution under both the null hypothesis \(H_ 0\) and Pitman type alternatives. In contrast the \(C^ 2_ n\) statistic has nontrivial power against alternatives approaching the null hypothesis as fast as \(1/\sqrt n\). Some small scale simulation results are also reported which demonstrate that the asymptotics extend in principle to the case of finite samples.
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Cramér-von Mises statistics
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local alternatives
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asymptotic efficiency
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Fourier series
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high frequency alternatives
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statistics of goodness of fit
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Neyman smooth statistic
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nonparametric density estimation
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normal limiting distribution
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Pitman type alternatives
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