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Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert

4 Issues per year


Cite Score 2016: 0.33

SCImago Journal Rank (SJR) 2016: 0.346
Source Normalized Impact per Paper (SNIP) 2016: 0.167

Mathematical Citation Quotient (MCQ) 2016: 0.32

Online
ISSN
2196-7040
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Volume 26, Issue 1 (Mar 2008)

Issues

Goodness of fit testing using a specific density estimate

Casper J. Albers / Willem Schaafsma
Published Online: 2009-09-25 | DOI: https://doi.org/10.1524/stnd.2008.0909

Abstract

To test the hypothesis H0: f=ψ that an unknown density f is equal to a specified one, ψ, an estimate f^ of f is compared with ψ. The total variation distance ∥ f^-ψ1 is used as test statistic.

The density estimate f^ considered is a peculiar one. A table of critical values is provided, this table is applicable for arbitrary ψ.

Relations with other methods, Neyman´s smooth tests in particular, are discussed and power comparisons are performed. In certain situations, our test is recommendable. An example from practice is provided.

Keywords: goodness of fit; Neyman smooth tests; power analysis

About the article

* Correspondence address: The Open University, Department of Mathematics and Statistics, Walton Hall, Milton Keynes, MK7 6AA, Großbritannien,


Published Online: 2009-09-25

Published in Print: 2008-03-01


Citation Information: Statistics & Decisions International mathematical journal for stochastic methods and models, ISSN (Print) 0721-2631, DOI: https://doi.org/10.1524/stnd.2008.0909.

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© by Oldenbourg Wissenschaftsverlag, Milton Keynes, MK7 6AA, Germany. Copyright Clearance Center

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[1]
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