An Adaptive Goodness-of-Fit Test |
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Authors: | Aurea Grane Josep Fortiana |
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Institution: | 1. Dpto. Estadística , Universidad Carlos III Madrid , Madrid , Spain agrane@est-econ.uc3m.es;3. Department d'Estadística , Universitat de Barcelona , Barcelona , Spain |
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Abstract: | In Fortiana and Grané (2003
Fortiana , J. ,
Grané , A. ( 2003 ). Goodness-of-fit tests based on maximum correlations and their orthogonal decompositions . J. Roy. Statist. Soc. B 65 ( 1 ): 115 – 126 . CSA] CROSSREF] Crossref] , Google Scholar]), we introduced the statistic Q n , based on Hoeffding's maximum correlation, as a general-purpose goodness-of-fit test of uniformity. It admits an expansion along a countable set of orthogonal axes, originating a sequence of statistics. Linear combinations of a given number p of terms in this sequence have easy-to-compute probability distributions, either the exact ones for a finite sample or their normal asymptotic approximations for a large sample. In this article we develop an algorithm for tailoring a statistic within this class of linear combinations to test uniformity with optimal power against a specific alternative or family of alternatives. |
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Keywords: | Decomposition of test statistics Goodness-of-fit Maximum correlation Tests of uniformity |
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