A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families

Feifei Chen, Jiménez–Gamero, M. Dolores, Simos Meintanis and Lixing Zhu

Computational Statistics & Data Analysis, 2022, vol. 175, issue C

Abstract: A general and relatively simple method for construction of multivariate goodness–of–fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions via their characteristic function. The consistency and other limit properties of the new test statistics are studied. Also in a simulation study the proposed tests are compared with earlier as well as more recent competitors.

Keywords: Goodness–of–fit test; Characteristic function; Spherical distribution (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:175:y:2022:i:c:s0167947322001281

DOI: 10.1016/j.csda.2022.107548

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