Local power properties of kernel based goodness of fit tests
If \((X_i, i \in \mathbb Z)\) is a strictly stationary process with marginal density function \(f\), we are interested in testing the hypothesis \(H_0: \{f=f_0\}\), where \(f_0\) is given. We consider different test statistics based on integrated quadratic forms measuring the proximity between \(f_n\), a kernel estimator of \(f\), and \(f_0\), or between \(f_n\) and its expected value computed under \(H_0\). We study the asymptotic local power properties of the testing procedures under local alternatives. This study generalizes to the multidimensional case in a context of dependence the corresponding one made by \textit{P. J. Bickel and M. Rosenblatt} [Ann. Stat. 1, 1071--1095 (1973; Zbl 0275.62033 )].
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