Two-sample smooth tests for the equality of distributions

DOI10.3150/15-BEJ766zbMATH Open1380.62202arXiv1509.03459MaRDI QIDQ520683FDOQ520683

Wen-Xin Zhou, Zhen Zhang, Chao Zheng

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This paper considers the problem of testing the equality of two unspecified distributions. The classical omnibus tests such as the Kolmogorov-Smirnov and Cram`er-von Mises are known to suffer from low power against essentially all but location-scale alternatives. We propose a new two-sample test that modifies the Neyman's smooth test and extend it to the multivariate case based on the idea of projection pursue. The asymptotic null property of the test and its power against local alternatives are studied. The multiplier bootstrap method is employed to compute the critical value of the multivariate test. We establish validity of the bootstrap approximation in the case where the dimension is allowed to grow with the sample size. Numerical studies show that the new testing procedures perform well even for small sample sizes and are powerful in detecting local features or high-frequency components.

Full work available at URL: https://arxiv.org/abs/1509.03459

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zbMATH Keywords

goodness-of-fitmultiplier bootstraptwo-sample problemhigh-frequency alternationsNeyman's smooth test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cited In (16)

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• Robust multivariate nonparametric tests via projection averaging
• Testing the equality of multivariate distributions using integrated empirical processes
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• Testing equality of several distributions in separable metric spaces: a maximum mean discrepancy based approach
• A Distribution-Free Two-Sample Equivalence Test Allowing for Tied Observations
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• Empirical likelihood test for equality of two distributions using distance of characteristic functions
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