This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett $T_p$-process with estimated parameters, which converges in distribution to the standard Brownian motion under the null hypothesis. We discuss tests of different natures such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice.
This paper studies the goodness of fit test for the bivariate Hermite distribution. Specifically, we propose and study a Cramér-von Mises-type test based on the empirical probability generation function. The bootstrap can be used to consistently estimate the null distribution of the test statistics. A simulation study investigates the goodness of the bootstrap approach for finite sample sizes.
The efficiency of distribution-free {\it integrated} goodness-of-fit tests was studied by Henze and Nikitin (2000, 2002) under location alternatives. We calculate local Bahadur efficiencies of these tests under more realistic generalized skew alternatives. They turn out to be unexpectedly high.
We consider goodness-of-fit tests for the distribution of the composed error in Stochastic Frontier Models. The proposed test statistic utilizes the characteristic function of the composed error term, and is formulated as a weighted integral of properly standardized data. The new test statistic is shown to be consistent and computationally convenient. Simulation results are presented whereby resampling versions of the new tests are compared to classical goodness-of-fit methods.
This paper studies goodness of fit tests and specification tests for an extension of the log-GARCH model which is stable by scaling. A Lagrange-Multiplier test is derived for testing the null assumption of extended log-GARCH against more general formulations including the Exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended log-GARCH. Simulations illustrating the theoretical results and an application to real financial data are proposed.
In this paper we present a new characterization of Pareto distribution and consider goodness of fit tests based on it. We provide an integral and Kolmogorov- Smirnov type statistics based on U-statistics and we calculate Bahadur efficiency for various alternatives. We find locally optimal alternatives for those tests. For small sample sizes we compare the power of those tests with some common goodness of fit tests.
We consider the goodness of fit testing problem for linear stochastic differential equation (Ornstein-Uhlenbeck process). The basic hypothesis is supposed to be composite with two-dimensional unknown parameter. We study two goodness of fit tests of Cramer-von Mises type based on empirical distribution function and on local time estimator of the invariant density. It is shown that the limit distributions of the underlying statistics under hypothesis do not depend on the unknown parameter.
We consider the problem of the construction of the Goodness-of-Fit test in the case of continuous time observations of a diffusion process with small noise. The null hypothesis is parametric and we use a minimum distance estimator of the unknown parameter. We propose an asymptotically distribution free test for this model.
We introduce a new characterization of Pareto distribution and construct integral and supremum type goodness-of-fit tests based on it. Limiting distribution and large deviations of new statistics are described and their local Bahadur efficiency for parametric alternatives is calculated. Conditions of local optimality of new statistics are given.
It is well known that the approximate distribution of the usual test statistic of a goodness-of-fit test is chi-square, with degrees of freedom equal to the number of categories minus 1 (assuming that no parameters are to be estimated -- something we do throughout this article). Here we show how to improve this approximation by including two correction terms, each of them inversely proportional to the total number of observations.
We consider the problem of the construction of the goodness-of-fit tests for diffusion processes with small noise. The basic hypothesis is composite parametric and our goal is to obtain asymptotically distribution free tests. We propose two solutions. The first one is based on the change of time and the second test we obtain with the help of some linear transformation of the "natural" statistics.
The problem of testing the goodness of fit of an absolutely continuous distribution to a set of observations grouped into equal probability intervals, against to a family of sequences of alternatives approaching the hypothesis is considered. We focus our study to the asymptotic intermediate efficiency (AIE) due to Inglot (1999) of the chi-squared and log-likelihood ratio tests. It is assumed that the number of groups increases together with the number of observations.
We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional small diffusions. Our test is based on discrete observation of the processes, and the diffusion coefficient is a nuisance function which is estimated in our testing procedure. We prove that the limit distribution of our test is the supremum of the standard Brownian motion, and thus our test is asymptotically distribution free. We also show that our test is consistent under any fixed alternatives.
The bivariate Poisson distribution is commonly used to model bivariate count data. In this paper we study a goodness-of-fit test for this distribution. We also provide a review of the existing tests for the bivariate Poisson distribution, and its multivariate extension. The proposed test is consistent against any fixed alternative. It is also able to detect local alternatives converging to the null at the rate $n^{-\frac{1}{2}}$. The bootstrap can be employed to consistently estimate the null distribution of the test statistic. Through a simulation study we investigated the goodness of the boo…
Classes of coordinate-invariant omnibus goodness-of-fit tests on compact Riemannian manifolds are proposed. The tests are based on Giné's Sobolev tests of uniformity. A condition for consistency is given. The tests are illustrated by an example on the rotation group $\mathit{SO}(3)$.
We propose a study of a distribution registration model for general deformation functions. In this framework, we provide estimators of the deformations as well as a goodness of fit test of the model. For this, we consider a criterion which studies the Fr{é}chet mean (or barycenter) of the warped distributions whose study enables to make inference on the model. In particular we obtain the asymptotic distribution and a bootstrap procedure for the Wasserstein variation.
In this paper, we address the problem of testing goodness-of-fit for discrete distributions, where we focus on the geometric distribution. We define new likelihood-based goodness-of-fit tests using the beta-geometric distribution and the type I discrete Weibull distribution as alternative distributions. The tests are compared in a simulation study, where also the classical goodness-of-fit tests are considered for comparison. Throughout the paper we consider conditional testing given a minimal sufficient statistic under the null hypothesis, which enables the calculation of exact p-values. For t…
In this paper, we propose several statistics for testing uniformity under progressive Type-I interval censoring. We obtain the critical points of these statistics and study the power of the proposed tests against a representative set of alternatives via simulation. Finally, we generalize our methods for continuous and completely specified distributions.
We present a review of several results concerning the construction of the Cramer-von Mises and Kolmogorov-Smirnov type goodness-of-fit tests for continuous time processes. As the models we take a stochastic differential equation with small noise, ergodic diffusion process, Poisson process and self-exciting point processes. For every model we propose the tests which provide the asymptotic size $α$ and discuss the behaviour of the power function under local alternatives. The results of numerical simulations of the tests are presented.
Motivated by applications to goodness of fit testing, the empirical likelihood approach is generalized to allow for the number of constraints to grow with the sample size and for the constraints to use estimated criteria functions. The latter is needed to deal with nuisance parameters. The proposed empirical likelihood based goodness of fit tests are asymptotically distribution free. For univariate observations, tests for a specified distribution, for a distribution of parametric form, and for a symmetric distribution are presented. For bivariate observations, tests for independence are develo…
We introduce a new characterization of the Cauchy distribution and propose a class of goodness-of-fit tests to the Cauchy family. The limit distribution is derived in a Hilbert space framework under the null hypothesis and under fixed alternatives. The new tests are consistent against a large class of alternatives. A comparative Monte Carlo simulation study shows that the test is competitive to the state of the art procedures, and we apply the tests to log-returns of cryptocurrencies.
The paper discusses a test for the hypothesis that a random sample comes from the Cauchy distribution. The test statistics is derived from a characterization and is based on the characteristic function. Properties of the test are discussed and its performance measured by simulations. The test presented turns out to be extremely powerful in a wide range of alternatives.
Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests result from the expansion of the projection pursuit methodology we will introduce in the present article. This method enables us to determine on which axis system these copulas lie as well as the exact value of these very copulas in the basis formed by the axes previously determined irrespective of their value in their canonical basis. Simulations are also presented as well as an application to real datasets.
In this work we deal with the problem of fitting an error density to the goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $α$-mixing error terms. The test statistic is based on the integrated squared error of the nonparametric error density estimate and the null error density. By deriving the asymptotic normality of test statistics in these models, we extend the result of Cheng and Sun (Statist. Probab. Lett. \textbf{78}, 1(2008), 50-59) in the model with i.i.d error terms to the more general case.
The problems of the construction of the asymptotically distribution free goodness-of-fit tests for three models of stochastic processes are considered. The null hypothesis for all models is composite parametric. All tests are based on the score-function processes, where the unknown parameter is replaced by the MLE. We show that a special change of time transforms the limit score-function processes into the Brownian bridge. This property allows us to construct the asymptotically distribution free tests for the following three models of stochastic processes : dynamical systems with small noise, …
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al.} (2008) which only concerned Gaussian processes. Moreover, the definition of the long memory parameter estimator is modified and asymptotic results are improved even in the Gaussian case. Finally an adaptive goodness-of-fit test is also built and easy to be employed: it is a chi-square type test. Simulations confirm the interesting properties of consistency and robustness of the adaptive estimat…
This paper discusses two goodness-of-fit testing problems. The first problem pertains to fitting an error distribution to an assumed nonlinear parametric regression model, while the second pertains to fitting a parametric regression model when the error distribution is unknown. For the first problem the paper contains tests based on a certain martingale type transform of residual empirical processes. The advantage of this transform is that the corresponding tests are asymptotically distribution free. For the second problem the proposed asymptotically distribution free tests are based on innova…
We consider a Gaussian sequence model that contains ill-posed inverse problems as special cases. We assume that the associated operator is partially unknown in the sense that its singular functions are known and the corresponding singular values are unknown but observed with Gaussian noise. For the considered model, we study the minimax goodness-of-fit testing problem. Working with certain ellipsoids in the space of squared-summable sequences of real numbers, with a ball of positive radius removed, we obtain lower and upper bounds for the minimax separation radius in the non-asymptotic framewo…
We consider a multivariable functional errors-in-variables model $AX\approx B$, where the data matrices $A$ and $B$ are observed with errors, and a matrix parameter $X$ is to be estimated. A goodness-of-fit test is constructed based on the total least squares estimator. The proposed test is asymptotically chi-squared under null hypothesis. The power of the test under local alternatives is discussed.
In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness-of-fit tests. In this paper, we give a new goodness-of-fit test for volatility-like processes, which is easily applied to a variety of semimartingale models. In each case, we reduce the problem to the detection of a semimartingale observed under noise. In this setting, we then describe a wavelet-thresholding test, which obtains adaptive and near-optimal detection rates.
We study the conditional distribution of goodness of fit statistics of the Cramér--von Mises type given the complete sufficient statistics in testing for exponential family models. We show that this distribution is close, in large samples, to that given by parametric bootstrapping, namely, the unconditional distribution of the statistic under the value of the parameter given by the maximum likelihood estimate. As part of the proof, we give uniform Edgeworth expansions of Rao--Blackwell estimates in these models.
The degrees are a classical and relevant way to study the topology of a network. They can be used to assess the goodness-of-fit for a given random graph model. In this paper we introduce goodness-of-fit tests for two classes of models. First, we consider the case of independent graph models such as the heterogeneous Erdös-Rényi model in which the edges have different connection probabilities. Second, we consider a generic model for exchangeable random graphs called the W-graph. The stochastic block model and the expected degree distribution model fall within this framework. We prove the asympt…
We consider goodness-of-fit tests for uniformity of a multinomial distribution by means of tests based on a class of symmetric statistics, defined as the sum of some function of cell-frequencies. We are dealing with an asymptotic regime, where the number of cells grows with the sample size. Most attention is focused on the class of power divergence statistics. The aim of this article is to study the intermediate asymptotic relative efficiency of two tests, where the powers of the tests are asymptotically non-degenerate and the sequences of alternatives converge to the hypothesis, but not too f…
A problem of goodness-of-fit test for ergodic diffusion processes is presented. In the null hypothesis the drift of the diffusion is supposed to be in a parametric form with unknown shift parameter. Two Cramer-Von Mises type test statistics are studied. The first one is based on local time estimator of the invariant density, the second one is based on the empirical distribution function. The unknown parameter is estimated via the maximum likelihood estimator. It is shown that both the limit distributions of the two test statistics do not depend on the unknown parameter, so the distributions of…
This paper develops a smooth test of goodness-of-fit for elliptical distributions. The test is adaptively omnibus, invariant to affine-linear transformations and has a convenient expression that can be broken into components. These components have diagnostic capabilities and can be used to identify specific departures. This helps in correcting the null model when the test rejects. As an example, the results are applied to the multivariate normal distribution for which the R package ECGofTestDx is available. It is shown that the proposed test strategy encompasses and generalizes a number of exi…
This paper has been temporarily withdrawn, pending a revised version taking into account similarities between this paper and the recent work of del Barrio, Gine and Utzet (Bernoulli, 11 (1), 2005, 131-189).
The Newcomb-Benford probability distribution is becoming very popular in many areas using statistics, notably in fraud detection. In such contexts, it is important to be able to determine if a data set arises from this distribution while controlling the risk of a Type 1 error, i.e. falsely identifying a fraud, and a Type 2 error, i.e. not detecting that a fraud occurred. The statistical tool to do this work is a goodness-of-fit test. For the Newcomb-Benford distribution, the most popular such test is Pearson's chi-square test whose power, related to the Type 2 error, is known to be weak. Conse…
This paper develops goodness of fit statistics that can be used to formally assess Markov random field models for spatial data, when the model distributions are discrete or continuous and potentially parametric. Test statistics are formed from generalized spatial residuals which are collected over groups of nonneighboring spatial observations, called concliques. Under a hypothesized Markov model structure, spatial residuals within each conclique are shown to be independent and identically distributed as uniform variables. The information from a series of concliques can be then pooled into good…
We present a unified approach to goodness-of-fit testing in $\mathbb{R}^d$ and on lower-dimensional manifolds embedded in $\mathbb{R}^d$ based on sums of powers of weighted volumes of $k$-th nearest neighbor spheres. We prove asymptotic normality of a class of test statistics under the null hypothesis and under fixed alternatives. Under such alternatives, scaled versions of the test statistics converge to the $α$-entropy between probability distributions. A simulation study shows that the procedures are serious competitors to established goodness-of-fit tests.
We initiate the study of goodness-of-fit testing when the data consist of positive definite matrices. Motivated by the recent appearance of the cone of positive definite matrices in numerous areas of applied research, including diffusion tensor imaging, models of the volatility of financial time series, wireless communication systems, and the analysis of polarimetric radar images, we apply the method of Hankel transforms of matrix argument to develop goodness-of-fit tests for Wishart distributions with given shape parameter and unknown scale matrix. We obtain the limiting null distribution of …
We consider the identity testing problem - or goodness-of-fit testing problem - in multivariate binomial families, multivariate Poisson families and multinomial distributions. Given a known distribution $p$ and $n$ iid samples drawn from an unknown distribution $q$, we investigate how large $ρ>0$ should be to distinguish, with high probability, the case $p=q$ from the case $d(p,q) \geq ρ$, where $d$ denotes a specific distance over probability distributions. We answer this question in the case of a family of different distances: $d(p,q) = \|p-q\|_t$ for $t \in [1,2]$ where $\|\cdot\|_t$ is the…
The Bayesian nonparametric inference and Dirichlet process are popular tools in statistical methodologies. In this paper, we employ the Dirichlet process in hypothesis testing to propose a Bayesian nonparametric chi-squared goodness-of-fit test. In our Bayesian nonparametric approach, we consider the Dirichlet process as the prior for the distribution of data and carry out the test based on the Kullback-Leibler distance between the updated Dirichlet process and the hypothesized distribution F0. We prove that this distance asymptotically converges to the same chi-squared distribution as the chi…
Statistical data is often analyzed as a contingency table, sometimes with empty cells called zeros. Such sparse tables can be due to scarse observations classified in numerous categories, as for example in genetic association studies. Thus, classical independence tests involving Pearson's chi-square statistic Q or Kullback's minimum discrimination information statistic G cannot be applied because some of the expected frequencies are too small. More generally, we consider goodness of fit tests with composite hypotheses for sparse multinomial vectors and suggest simple corrections for Q and G th…
Statistical data is often analyzed as a contingency table, sometimes with empty cells called zeros. Such sparse tables can be due to scarse observations classified in numerous categories, as for example in genetic association studies. Thus, classical independence tests involving Pearson's chi-square statistic Q or Kullback's minimum discrimination information statistic G cannot be applied because some of the expected frequencies are too small. More generally, we consider goodness of fit tests with composite hypotheses for sparse multinomial vectors and suggest simple corrections for Q and G th…
The increment ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2007) for estimating the memory parameter either of a stationary or an increment stationary Gaussian process. Here three extensions are proposed in the case of stationary processes. Firstly, a multidimensional central limit theorem is established for a vector composed by several IR statistics. Secondly, a goodness-of-fit $χ^2$-type test can be deduced from this theorem. Finally, this theorem allows to construct adaptive versions of the estimator and test which are studied in a general semiparametric fra…
We consider multinomial goodness-of-fit tests in the high-dimensional regime where the number of bins increases with the sample size. In this regime, Pearson's chi-squared test can suffer from low power due to the substantial bias as well as high variance of its statistic. To resolve these issues, we introduce a family of U-statistic for multinomial goodness-of-fit and study their asymptotic behaviors in high-dimensions. Specifically, we establish conditions under which the considered U-statistic is asymptotically Poisson or Gaussian, and investigate its power function under each asymptotic re…
We construct integral and supremum type goodness-of-fit tests for the family of power distribution functions. Test statistics are functionals of $U-$empirical processes and are based on the classical characterization of power function distribution family belonging to Puri and Rubin. We describe the logarithmic large deviation asymptotics of test statistics under null-hypothesis, and calculate their local Bahadur efficiency under common parametric alternatives. Conditions of local optimality of new statistics are given.
We develop a new goodness fit test for Rayleigh distribution for complete as well as right censored data. We use U-Statistic theory to derive the test statistic. First we develop a test for complete data and then discuss, how right censored observations can be incorporated in the testing procedure. The asymptotic properties of the test statistics in both uncensored and censored cases are studied in detail. Extensive Monte Carlo simulation studies are carried out to validate the performance of the proposed tests. We illustrate the procedures using real data sets. We also provide, a goodness of …
Weighted histogram in Monte-Carlo simulations is often used for the estimation of a probability density function. It is obtained as a result of random experiment with random events that have weights. In this paper the bin contents of weighted histogram are considered as a sum of random variables with random number of terms. Goodness of fit tests for weighted histograms and for weighted histograms with unknown normalization are proposed. Sizes and powers of the tests are investigated numerically.
We consider the goodness of fit testing problem for stochastic differential equation with small diffiusion coefficient. The basic hypothesis is always simple and it is described by the known trend coefficient. We propose several tests of the type of Cramer-von Mises, Kolmogorov-Smirnov and Chi-Square. The power functions of these tests we study for a special classes of close alternatives. We discuss the construction of the goodness of fit test based on the local time and the possibility of the construction of asymptotically distribution free tests in the case of composite basic hypothesis.
