Correlation-type goodness-of-fit tests based on independence characterizations

Katarina Halaj (), Bojana Milošević (), Marko Obradović () and M. Dolores Jiménez-Gamero ()
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Katarina Halaj: University of Belgrade
Bojana Milošević: University of Belgrade
Marko Obradović: University of Belgrade
M. Dolores Jiménez-Gamero: Universidad de Sevilla

AStA Advances in Statistical Analysis, 2024, vol. 108, issue 1, No 7, 185-207

Abstract: Abstract This paper uses independence-type characterizations to propose a class of test statistics which can be used for testing goodness-of-fit with several classes of null distributions. The resulting tests are consistent against fixed alternatives. Some limiting and small sample properties of the test statistics are explored. In comparison with common universal goodness-of-fit tests, the new tests exhibit better power for most of the alternatives considered, while in comparison with another characterization-based procedure, the new tests provide competitive or comparable power in various simulation settings. The handiness of the proposed tests is demonstrated through several real-data examples.

Keywords: Goodness-of-fit; Independence characterizations; Gamma distribution; Inverse Gaussian distribution; Cauchy distribution (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10182-023-00475-x

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