Distribution free testing for conditional distributions given covariates

Estate Khmaladze

Statistics & Probability Letters, 2017, vol. 129, issue C, 348-354

Abstract: Given a sample (ξi,Xi)i=1n of i.i.d. pairs, consider Fx and Qx as two different models for conditional distribution of ξi given Xi=x. The paper shows how the empirical process for testing Fx can be transformed into a process with the same asymptotic behavior as the empirical process for testing Qx thereby rendering the two testing problems equivalent.

Keywords: Unitary operators; Empirical process; Kiefer process; Parametric models; Orthogonal projections (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.06.026

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