Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert

Cite Score 2018: 0.85

SCImago Journal Rank (SJR) 2018: 0.354
Source Normalized Impact per Paper (SNIP) 2018: 0.604

Mathematical Citation Quotient (MCQ) 2018: 0.36

See all formats and pricing
More options …
Volume 26, Issue 1


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


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, Volume 26, Issue 1, Pages 3–23, ISSN (Print) 0721-2631, DOI: https://doi.org/10.1524/stnd.2008.0909.

Export Citation

© by Oldenbourg Wissenschaftsverlag, Milton Keynes, MK7 6AA, Germany.Get Permission

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

Wenceslao González-Manteiga and Rosa M. Crujeiras
TEST, 2013, Volume 22, Number 3, Page 361

Comments (0)

Please log in or register to comment.
Log in