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Asymptotic properties of a goodness-of-fit test based on maximum correlations

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Author Info
Aurea Grane ()
Anna V. Tchirina ()
Abstract

We study the efficiency properties of the goodness-of-fit test based on the Qn statistic introduced in Fortiana and Grané (2003) using the concepts of Bahadur asymptotic relative efficiency and Bahadur asymptotic optimality. We compare the test based on this statistic with those based on the Kolmogorov-Smirnov, the Cramér-von Mises and the Anderson-Darling statistics. We also describe the distribution families for which the test based on Qn is asymptotically optimal in the Bahadur sense and, as an application, we use this test to detect the presence of hidden periodicities in a stationary time series.

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws084211.

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Date of creation: Sep 2008
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Handle: RePEc:cte:wsrepe:ws084211

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Keywords: Bahadur asymptotic relative efficiency; Goodness-of-fit; Local asymptotic optimality; L-statistics; Maximum correlation;

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  1. J. Fortiana & A. Grané, 2003. "Goodness-of-fit tests based on maximum correlations and their orthogonal decompositions," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 115-126. [Downloadable!] (restricted)
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