Publication: Asymptotic properties of a goodness-of-fit test based on maximum correlations
Loading...
Identifiers
Publication date
2008-09
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
We study the efficiency properties of the goodness-of-fit test based on the Qn statistic
introduced in Fortiana and Grané (2003) using the concepts of Bahadur asymptotic relative
efficiency and Bahadur asymptotic optimality. We compare the test based on this statistic with
those based on the Kolmogorov-Smirnov, the Cramér-von Mises and the Anderson-Darling
statistics. We also describe the distribution families for which the test based on Qn is
asymptotically optimal in the Bahadur sense and, as an application, we use this test to detect the
presence of hidden periodicities in a stationary time series.
Description
Keywords
Bahadur asymptotic relative efficiency, Goodness-of-fit, Local asymptotic optimality, L-statistics, Maximum correlation