Local power properties of kernel based goodness of fit tests

JOURNAL OF MULTIVARIATE ANALYSIS

卷:78

Article

Gouriéroux, C ; Tenreiro, C

关键词: goodness of fit tests;    kernel density estimator;    integrated square error;    asymptotic power;    local alternatives;   

DOI  :  10.1006/jmva.2000.1950

来源: Elsevier

【 摘 要 】

If (X-i, i is an element of Z) is a strictly stationary process with marginal density function f, we are interested in testing the hypothesis H-0: {f =f(0)}, where f(0) is given. We consider different test statistics based on integrated quadratic forms measuring the proximity between f(n) a kernel estimator of f, and f(0), or between f(n) and its expected value computed under H-0. We Study the asymptotic local power properties of the testing procedures under local alternatives. This study generalizes to the multidimensional case in a context of dependence the corresponding one made by P. J. Bickel and M. Rosenblatt in 1973 (Ann. Statist. 1, 1071-1095). (C) 2001 Academic Press.

【 授权许可】

Free