Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities

DOI10.1080/02664760701231526MaRDI QIDQ3604101zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer

Publication date 24 February 2009

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760701231526

zbMATH Keywords

goodness-of-fitmultivariate density forecastsuniform distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Recommendations

• Data-Driven Version of Neyman's Smooth Test of Fit
• Two-sample smooth tests for the equality of distributions
• Power of the Neyman smooth tests for the uniform distribution
• Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data
• Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions

Cites work

• A Probability Distribution and Its Uses in Fitting Data
• scientific article; zbMATH DE number 47315 (Why is no real title available?)
• Power of the Neyman smooth tests for the uniform distribution
• Remarks on a Multivariate Transformation
• Smooth Tests of Goodness of Fit: An Overview
• Table of Percentage Points of Kolmogorov Statistics
• Testing and Modeling Multivariate Threshold Models

Cited in

(1)

• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds

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