Goodness of fit testing using a specific density estimate

Albers Casper J. and Schaafsma Willem
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Schaafsma Willem: University of Groningen, Department of Mathematics, Groningen, Niederlande

Statistics & Risk Modeling, 2008, vol. 26, issue 1, 3-23

Abstract: To test the hypothesis H0: f=ψ that an unknown density f is equal to a specified one, ψ, an estimate f^ of f is compared with ψ. The total variation distance ∥ f^-ψ∥1 is used as test statistic.The density estimate f^ considered is a peculiar one. A table of critical values is provided, this table is applicable for arbitrary ψ.Relations with other methods, Neyman´s smooth tests in particular, are discussed and power comparisons are performed. In certain situations, our test is recommendable. An example from practice is provided.

Keywords: goodness of fit; Neyman smooth tests; power analysis (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1524/stnd.2008.0909

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