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A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families

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  • Chen, Feifei
  • Jiménez–Gamero, M. Dolores
  • Meintanis, Simos
  • Zhu, Lixing

Abstract

A general and relatively simple method for construction of multivariate goodness–of–fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions via their characteristic function. The consistency and other limit properties of the new test statistics are studied. Also in a simulation study the proposed tests are compared with earlier as well as more recent competitors.

Suggested Citation

  • Chen, Feifei & Jiménez–Gamero, M. Dolores & Meintanis, Simos & Zhu, Lixing, 2022. "A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
    • Handle: RePEc:eee:csdana:v:175:y:2022:i:c:s0167947322001281
    DOI: 10.1016/j.csda.2022.107548
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    2. Fraiman, Ricardo & Moreno, Leonardo & Ransford, Thomas, 2023. "A Cramér–Wold theorem for elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 196(C).

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