On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test

For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f =f0 and we use them to get a better understanding on the role played by the smoothing parameter in the detection of departures from...

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Autor: Tenreiro, Carlos
Tipo de recurso: artículo
Fecha de publicación:2005
País:España
Institución:Universitat Autònoma de Barcelona
Repositorio:Dipòsit Digital de Documents de la UAB
Idioma:inglés
OAI Identifier:oai:ddd.uab.cat:97450
Acceso en línea:https://ddd.uab.cat/record/97450
Access Level:acceso abierto
Palabra clave:Goodness-of-fit test
Kernel density estimator
Bahadur efficiency
Contrastos de bondat d'ajust
Estimadors de densitats amb nuclis
Eficiència de Bahadur
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spelling On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit testTenreiro, CarlosGoodness-of-fit testKernel density estimatorBahadur efficiencyContrastos de bondat d'ajustEstimadors de densitats amb nuclisEficiència de BahadurFor the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f =f0 and we use them to get a better understanding on the role played by the smoothing parameter in the detection of departures from the null hypothesis. When f0 is a univariate normal distribution and we take for kernel the standard normal density function, we compute these slopes for a set of Edgeworth alternatives which give us a description of the test properties in terms of the bandwidth h. A simulation study is presented which indicates that finite sample properties are in good accordance with the theoretical properties based on Bahadur local efficiency. Comparisons with the quadratic classical EDF tests lead us to recommend a test based on a combination of bandwidths in alternative to Anderson-Darling or Cramér-von Mises tests.Per al contrast de bondat d'ajust de Bickel-Rosenblatt amb amplada de banda fixa, estudiat per Fan (1998), derivem la seva pendent exacta de Bahadur en un entorn d'una hipòtesi simple f = f0 i la utilitzem per obtenir un coneixement millor del paper del paràmetre suavitzador en la detecci'o de desviacions de la hipòtesi nul·la. Quan f0 és una distribució normal univariant i agafem com a nucli la funció de densitat de la normal estàndard, calculem aquestes pendents per a un conjunt d'alternatives de Edgeworth les quals ens donen una descripció de les propietats del contrast en termes de l'amplada de banda, h. Es presenta un estudi de simulació que indica que les propietats de les mostres finites estan d'acord amb les propietats teòriques basades en l'eficiència local de Bahadur. Comparacions amb els contrastos quadràtics EDF clàssics ens porten a recomanar un contrast basat en una combinació d'amplades de banda com alternativa als contrastos de Anderson-Darling o Cramér-Von Mises. 22005-01-0120052005-01-01Articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfhttps://ddd.uab.cat/record/97450reponame:Dipòsit Digital de Documents de la UABinstname:Universitat Autònoma de BarcelonaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.https://creativecommons.org/licenses/by-nc-nd/3.0/info:eu-repo/semantics/openAccessoai:ddd.uab.cat:974502026-06-06T12:50:31Z
dc.title.none.fl_str_mv On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
title On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
spellingShingle On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
Tenreiro, Carlos
Goodness-of-fit test
Kernel density estimator
Bahadur efficiency
Contrastos de bondat d'ajust
Estimadors de densitats amb nuclis
Eficiència de Bahadur
title_short On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
title_full On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
title_fullStr On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
title_full_unstemmed On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
title_sort On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
dc.creator.none.fl_str_mv Tenreiro, Carlos
author Tenreiro, Carlos
author_facet Tenreiro, Carlos
author_role author
dc.subject.none.fl_str_mv Goodness-of-fit test
Kernel density estimator
Bahadur efficiency
Contrastos de bondat d'ajust
Estimadors de densitats amb nuclis
Eficiència de Bahadur
topic Goodness-of-fit test
Kernel density estimator
Bahadur efficiency
Contrastos de bondat d'ajust
Estimadors de densitats amb nuclis
Eficiència de Bahadur
description For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f =f0 and we use them to get a better understanding on the role played by the smoothing parameter in the detection of departures from the null hypothesis. When f0 is a univariate normal distribution and we take for kernel the standard normal density function, we compute these slopes for a set of Edgeworth alternatives which give us a description of the test properties in terms of the bandwidth h. A simulation study is presented which indicates that finite sample properties are in good accordance with the theoretical properties based on Bahadur local efficiency. Comparisons with the quadratic classical EDF tests lead us to recommend a test based on a combination of bandwidths in alternative to Anderson-Darling or Cramér-von Mises tests.
publishDate 2005
dc.date.none.fl_str_mv 2
2005-01-01
2005
2005-01-01
dc.type.none.fl_str_mv Article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://ddd.uab.cat/record/97450
url https://ddd.uab.cat/record/97450
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/3.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/3.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Dipòsit Digital de Documents de la UAB
instname:Universitat Autònoma de Barcelona
instname_str Universitat Autònoma de Barcelona
reponame_str Dipòsit Digital de Documents de la UAB
collection Dipòsit Digital de Documents de la UAB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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