Adaptive goodness-of-fit tests in a density model

DOI10.1214/009053606000000119MaRDI QIDQ2497178zbMATH OpenOpenAlexFDO

Authors Magalie Fromont, Béatrice Laurent

Publication date 3 August 2006

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607013

zbMATH Keywords

adaptive testgoodness-of-fit testmodel selectionuniform separation rates

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Abstract: Given an i.i.d. sample drawn from a density $f$, we propose to test that $f$ equals some prescribed density $f_0$ or that $f$ belongs to some translation/scale family. We introduce a multiple testing procedure based on an estimation of the $mathbb{L}_2$-distance between $f$ and $f_0$ or between $f$ and the parametric family that we consider. For each sample size $n$, our test has level of significance $alpha$. In the case of simple hypotheses, we prove that our test is adaptive: it achieves the optimal rates of testing established by Ingster [J. Math. Sci. 99 (2000) 1110--1119] over various classes of smooth functions simultaneously. As for composite hypotheses, we obtain similar results up to a logarithmic factor. We carry out a simulation study to compare our procedures with the Kolmogorov--Smirnov tests, or with goodness-of-fit tests proposed by Bickel and Ritov [in Nonparametric Statistics and Related Topics (1992) 51--57] and by Kallenberg and Ledwina [Ann. Statist. 23 (1995) 1594--1608].

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Cited in

(35)

• Tests for multivariate normality -- a critical review with emphasis on weighted L^2-statistics
• Adaptive chi-square tests
• Nonparametric goodness-of fit testing in quantum homodyne tomography with noisy data
• Minimax optimal goodness-of-fit testing for densities and multinomials under a local differential privacy constraint
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• Exponential inequalities for the supremum of some counting processes and their square martingales
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