Data-driven goodness-of-fit tests
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Publication:6206375
arXiv0708.0169MaRDI QIDQ6206375FDOQ6206375
Authors: Mikhail Langovoy 
Publication date: 1 August 2007
Abstract: We propose and study a general method for construction of consistent statistical tests on the basis of possibly indirect, corrupted, or partially available observations. The class of tests devised in the paper contains Neyman's smooth tests, data-driven score tests, and some types of multi-sample tests as basic examples. Our tests are data-driven and are additionally incorporated with model selection rules. The method allows to use a wide class of model selection rules that are based on the penalization idea. In particular, many of the optimal penalties, derived in statistical literature, can be used in our tests. We establish the behavior of model selection rules and data-driven tests under both the null hypothesis and the alternative hypothesis, derive an explicit detectability rule for alternative hypotheses, and prove a master consistency theorem for the tests from the class. The paper shows that the tests are applicable to a wide range of problems, including hypothesis testing in statistical inverse problems, multi-sample problems, and nonparametric hypothesis testing.
Nonparametric hypothesis testing (62G10) Multivariate distribution of statistics (62H10) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)
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