Asymptotic properties of a goodness-of-fit test based on maximum correlations

Anna V. Tchirina

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We study the efficiency properties of the goodness-of-fit test based on the Qn statistic introduced in Fortiana and Grané (2003) using the concepts of Bahadur asymptotic relative efficiency and Bahadur asymptotic optimality. We compare the test based on this statistic with those based on the Kolmogorov-Smirnov, the Cramér-von Mises and the Anderson-Darling statistics. We also describe the distribution families for which the test based on Qn is asymptotically optimal in the Bahadur sense and, as an application, we use this test to detect the presence of hidden periodicities in a stationary time series.

Keywords: Bahadur; asymptotic; relative; efficiency; Goodness-of-fit; Local; asymptotic; optimality; L-statistics; Maximum; correlation (search for similar items in EconPapers)
Date: 2008-09
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws084211

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