Optimal goodness-of-fit tests for recurrent event data

A class of tests for the hypothesis that the baseline intensity belongs to a parametric class of intensities is given in the recurrent event setting. Asymptotic properties of a weighted general class of processes that compare the non-parametric versus parametric estimators for the cumulative intensity are presented. These results are given for a sequence of Pitman alternatives. Test statistics are proposed and methods of obtaining critical values are examined. Optimal choices for the weight function are given for a class of chi-squared tests. Based on Khmaladze’s transformation we propose distributional free tests. These include the types of Kolmogorov–Smirnov and Cramér–von Mises. The tests are used to analyze two different data sets.