Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities

DOI10.1080/02664760701231526zbMATH Open1156.62330OpenAlexW2055731783MaRDI QIDQ3604101FDOQ3604101

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

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

zbMATH Keywords

uniform distributiongoodness-of-fitmultivariate density forecasts

Mathematics Subject Classification ID

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

Cites Work

• Remarks on a Multivariate Transformation
• A Probability Distribution and Its Uses in Fitting Data
• Smooth Tests of Goodness of Fit: An Overview
• Title not available (Why is that?)
• Testing and Modeling Multivariate Threshold Models
• Power of the Neyman smooth tests for the uniform distribution
• Table of Percentage Points of Kolmogorov Statistics

Cited In (1)

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

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