Goodness-of-fit tests based on empirical characteristic functions

M. D. Jiménez-Gamero; V. Alba-Fernández; J. Muñoz-García; Y. Chalco-Cano

doi:10.1016/j.csda.2009.06.001

Goodness-of-fit tests based on empirical characteristic functions

M. D. Jiménez-Gamero
, V. Alba-Fernández
, J. Muñoz-García
, Y. Chalco-Cano

Department of Mathematics

University of Seville
University of Jaén

Research output: Contribution to journal › Article › peer-review

58 Scopus citations

Abstract

A class of goodness-of-fit tests based on the empirical characteristic function is studied. They can be applied to continuous as well as to discrete or mixed data with any arbitrary fixed dimension. The tests are consistent against any fixed alternative for suitable choices of the weight function involved in the definition of the test statistic. The bootstrap can be employed to estimate consistently the null distribution of the test statistic. The goodness of the bootstrap approximation and the power of some tests in this class for finite sample sizes are investigated by simulation.

Original language	English
Pages (from-to)	3957-3971
Number of pages	15
Journal	Computational Statistics and Data Analysis
Volume	53
Issue number	12
DOIs	https://doi.org/10.1016/j.csda.2009.06.001
State	Published - 1 Oct 2009

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10.1016/j.csda.2009.06.001

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AB - A class of goodness-of-fit tests based on the empirical characteristic function is studied. They can be applied to continuous as well as to discrete or mixed data with any arbitrary fixed dimension. The tests are consistent against any fixed alternative for suitable choices of the weight function involved in the definition of the test statistic. The bootstrap can be employed to estimate consistently the null distribution of the test statistic. The goodness of the bootstrap approximation and the power of some tests in this class for finite sample sizes are investigated by simulation.

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Goodness-of-fit tests based on empirical characteristic functions

Abstract

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