On the choice of the smoothing parameter for the BHEP goodness-of-fit test

DOI10.1016/j.csda.2008.09.002zbMath1452.62322OpenAlexW2146766869MaRDI QIDQ961230

Carlos Tenreiro

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/80929

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15)

Related Items (36)

Fourier methods for analyzing piecewise constant volatilities ⋮ Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function ⋮ Tests for circular symmetry of complex-valued random vectors ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Testing for spherical symmetry via the empirical characteristic function ⋮ A statistical test for the hypothesis of Gaussian random function ⋮ The probability weighted characteristic function and goodness-of-fit testing ⋮ A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families ⋮ Testing normality in any dimension by Fourier methods in a multivariate Stein equation ⋮ Nonparametric probability weighted empirical characteristic function and applications ⋮ On the automatic selection of the tuning parameter appearing in certain families of goodness-of-fit tests ⋮ On the goodness-of-fit procedure for normality based on the empirical characteristic function for ranked set sampling data ⋮ Tests for symmetry based on the integrated empirical process ⋮ A Monte Carlo evaluation of the performance of two new tests for symmetry ⋮ An affine invariant multiple test procedure for assessing multivariate normality ⋮ Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ Testing the adequacy of semiparametric transformation models ⋮ Asymptotic theory for the test for multivariate normality by Cox and Small ⋮ Testing for the generalized normal-Laplace distribution with applications ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Asymptotics, finite-sample comparisons and applications for two-sample tests with functional data ⋮ Goodness-of-fit tests in semi-linear models ⋮ Data transformations and goodness-of-fit tests for type-II right censored samples ⋮ A Class of Goodness-of-fit Tests Based on Transformation ⋮ Inference procedures for the variance gamma model and applications ⋮ A Non‐parametric <scp>ANOVA</scp>‐type Test for Regression Curves Based on Characteristic Functions ⋮ Goodness-of-fit tests for multivariate Laplace distributions ⋮ On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence ⋮ Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics ⋮ Diagnostic tests for the distribution of random effects in multivariate mixed effects models ⋮ Self-consistency-based tests for bivariate distributions ⋮ Inferential procedures based on the integrated empirical characteristic function ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Fourier–type tests involving martingale difference processes

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A comparative study of goodness-of-fit tests for multivariate normality
• The meta-elliptical distributions with given marginals
• Two tests for multivariate normality based on the characteristic function
• Consistency of some tests for multivariate normality
• A goodness-of-fit test for normality based on polynomial regression
• A consistent test for multivariate normality based on the empirical characteristic function
• On efficiency and optimality of quadratic tests
• Two-sample test statistics for measuring discrepancies between two multivariate probability density functions using kernel-based density estimates
• A new approach to the BHEP tests for multivariate normality
• Extreme smoothing and testing for multivariate normality
• On some global measures of the deviations of density function estimates
• On the asymptotic behaviour of location-scale invariant Bickel-Rosenblatt tests
• Some new tests for normality based on U-processes
• A comparison of various tests of normality
• Recent and classical tests for normality - a comparative study
• On the Bahadur slope of the Lilliefors and the Cramér–von Mises tests of normality
• A New Family of Probability Distributions With Applications to Monte Carlo Studies
• A class of invariant consistent tests for multivariate normality
• Asymptotic Efficiency of Nonparametric Tests
• An approximate method for generating asymmetric random variables
• Adaptive Smoothing and Density-Based Tests of Multivariate Normality
• On tests for multivariate normality and associated simulation studies
• A Monte Carlo comparison of the Type I and Type II error rates of tests of multivariate normality
• Rates of Convergence of Estimates and Test Statistics
• Stochastic Comparison of Tests
• A test for normality based on the empirical characteristic function
• Local power properties of kernel based goodness of fit tests

This page was built for publication: On the choice of the smoothing parameter for the BHEP goodness-of-fit test