Randomized goodness of fit tests
Kybernetika (2011)
- Volume: 47, Issue: 6, page 814-839
- ISSN: 0023-5954
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topLiese, Friedrich, and Liu, Bing. "Randomized goodness of fit tests." Kybernetika 47.6 (2011): 814-839. <http://eudml.org/doc/196524>.
@article{Liese2011,
abstract = {Classical goodness of fit tests are no longer asymptotically distributional free if parameters are estimated. For a parametric model and the maximum likelihood estimator the empirical processes with estimated parameters is asymptotically transformed into a time transformed Brownian bridge by adding an independent Gaussian process that is suitably constructed. This randomization makes the classical tests distributional free. The power under local alternatives is investigated. Computer simulations compare the randomized Cramér-von Mises test with tests specially designed for location-scale families, such as the Shapiro-Wilk and the Shenton-Bowman test for normality and with the Epps-Pulley test for exponentiality.},
author = {Liese, Friedrich, Liu, Bing},
journal = {Kybernetika},
keywords = {goodness of fit tests with estimated parameters; Kolmogorov–Smirnov test; Cramér–von Mises test; randomization; goodness-of-fit tests with estimated parameters; Kolmogorov-Smirnov test; Cramér-von Mises test; randomization},
language = {eng},
number = {6},
pages = {814-839},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Randomized goodness of fit tests},
url = {http://eudml.org/doc/196524},
volume = {47},
year = {2011},
}
TY - JOUR
AU - Liese, Friedrich
AU - Liu, Bing
TI - Randomized goodness of fit tests
JO - Kybernetika
PY - 2011
PB - Institute of Information Theory and Automation AS CR
VL - 47
IS - 6
SP - 814
EP - 839
AB - Classical goodness of fit tests are no longer asymptotically distributional free if parameters are estimated. For a parametric model and the maximum likelihood estimator the empirical processes with estimated parameters is asymptotically transformed into a time transformed Brownian bridge by adding an independent Gaussian process that is suitably constructed. This randomization makes the classical tests distributional free. The power under local alternatives is investigated. Computer simulations compare the randomized Cramér-von Mises test with tests specially designed for location-scale families, such as the Shapiro-Wilk and the Shenton-Bowman test for normality and with the Epps-Pulley test for exponentiality.
LA - eng
KW - goodness of fit tests with estimated parameters; Kolmogorov–Smirnov test; Cramér–von Mises test; randomization; goodness-of-fit tests with estimated parameters; Kolmogorov-Smirnov test; Cramér-von Mises test; randomization
UR - http://eudml.org/doc/196524
ER -
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