Conditional limit laws for goodness-of-fit tests

DOI10.3150/11-BEJ366MaRDI QIDQ442080zbMATH OpenOpenAlexFDO

Authors Richard A. Lockhart

Publication date 9 August 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.5967, https://projecteuclid.org/euclid.bj/1340887006

zbMATH Keywords

empirical distribution functionlocal central limit theoremparametric bootstrapRao-Blackwell

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sufficient statistics and fields (62B05) Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30)

Abstract: We study the conditional distribution of goodness of fit statistics of the Cram'{e}r--von Mises type given the complete sufficient statistics in testing for exponential family models. We show that this distribution is close, in large samples, to that given by parametric bootstrapping, namely, the unconditional distribution of the statistic under the value of the parameter given by the maximum likelihood estimate. As part of the proof, we give uniform Edgeworth expansions of Rao--Blackwell estimates in these models.

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Cites work

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(4)

• Testing goodness-of-fit and conditional independence with approximate co-sufficient sampling
• Some goodness-of-fit tests for the Poisson distribution with applications in biodosimetry
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• On the Asymptotic Distribution of Pearson's Statistic in Linear Exponential-Family Models

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