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Goodness of fit testing using a specific density estimate

Author

Listed:
  • Albers Casper J.
  • Schaafsma Willem

    (University of Groningen, Department of Mathematics, Groningen, Niederlande)

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.

Suggested Citation

  • Albers Casper J. & Schaafsma Willem, 2008. "Goodness of fit testing using a specific density estimate," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 3-23, March.
    • Handle: RePEc:bpj:strimo:v:26:y:2008:i:1:p:3-23:n:2
    DOI: 10.1524/stnd.2008.0909
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    References listed on IDEAS

    as
    1. Munoz Perez, Jose & Fernandez Palacin, Ana, 1987. "Estimating the quantile function by Bernstein polynomials," Computational Statistics & Data Analysis, Elsevier, vol. 5(4), pages 391-397, September.
    2. Albers Willem & Boon Pieta C. & Kallenberg Wilbert C.M., 2001. "Power Gain By Pre-Testing?," Statistics & Risk Modeling, De Gruyter, vol. 19(3), pages 253-276, March.
    3. Albers, C. J. & Schaafsma, W., 2003. "Estimating a density by adapting an initial guess," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 27-36, February.
    4. de Bruin, R. & Salome, D. & Schaafsma, W., 1999. "A semi-Bayesian method for nonparametric density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 30(1), pages 19-30, March.
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    Cited by:

    1. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.

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