On the optimization of the weighted Bickel-Rosenblatt test

Fateh Chebana

Statistics & Probability Letters, 2004, vol. 68, issue 4, 333-345

Abstract: We consider Bickel-Rosenblatt tests of fit for a density f. Their asymptotic properties are studied under Pitman's local alternatives; we investigate their power functions. Our goal is to look for the best test in this class, by optimizing the power as done by Mason (Ann. Statist. 11 (1983) 317) in the context of minimax comparisons. This approach leads to a continuous versions of a [chi]2 type test. Finally a simulation study is presented.

Keywords: Goodness-of-fit; tests; Kernel; density; estimator; Weighted; L2-norm; Pitman's; efficiency (search for similar items in EconPapers)
Date: 2004
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