Cramér-von Mises statistics based on the sample quantile function and estimated parameters

DOI10.1016/0047-259X(86)90061-8MaRDI QIDQ1069225zbMATH OpenFDO

Authors David M. Mason, Vincent N. La Riccia

Publication date 1986

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(86)90061-8

zbMATH Keywords

asymptotic null distribution of Cramér-von Mises type statisticscomposite null hypothesisestimated weighted empirical quantile processGaussian processorder statistics

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Order statistics; empirical distribution functions (62G30)

Review text

The estimated weighted empirical quantile process is introduced, and under mild regularity conditions is shown to converge weakly in \(L^ 2(0,1)\) to a Gaussian process. This leads to an elementary approach to the derivation of the asymptotic null distribution of Cramér-von Mises type statistics for testing a composite null hypothesis based on the sample quantile function and estimated parameters. Special emphasis is given to the location/scale composite null hypothesis.

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Cites work

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Cited in

(14)

• Minimum volume sets and generalized quantile processes
• Contributions of empirical and quantile processes to the asymptotic theory of goodness-of-fit tests. (With comments)
• Goodness-of-fit analysis for multivariate normality based on generalized quantiles.
• Asymptotics for L₂ functionals of the empirical quantile process, with applications to tests of fit based on weighted Wasserstein distances
• A change detection procedure for an ergodic diffusion process
• Cramér-von Mises regression
• Weighted Cramér-von Mises test with estimated parameters
• scientific article; zbMATH DE number 3932187 (Why is no real title available?)
• Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications
• scientific article; zbMATH DE number 897214 (Why is no real title available?)
• Note on the Cramér-von Mises test with estimated parameters
• Detection of non-Gaussianity
• Sobre el Estadístico de Cramér–Von Mises
• Weighted Cramér-von Mises tests with estimated parameters

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