Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 175, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.csda.2022.107548
Keywords
Goodness-of-fit test; Characteristic function; Spherical distribution
Funding
- National Natural Science Foundation of China [12131006, 12101055]
- Ministerio de Ciencia e Innovacion [P18 -FR -2269]
- Junta de Andalucia
- [PID2020- 118101GB-I00]
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A general and relatively simple method for constructing multivariate goodness-of-fit tests is presented in this paper, with a focus on elliptical distributions. The method is based on characterizing probability distributions through their characteristic function. The consistency and other limit properties of the new test statistics are investigated. Additionally, a simulation study is conducted to compare the proposed tests with previous and more recent competitors.
A general and relatively simple method for construction of multivariate goodness-of-fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions via their characteristic function. The consistency and other limit properties of the new test statistics are studied. Also in a simulation study the proposed tests are compared with earlier as well as more recent competitors. (C) 2022 Published by Elsevier B.V.
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