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Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function

Author

Listed:
  • Simos Meintanis

    (National and Kapodistrian University of Athens
    North–West University)

  • Bojana Milošević

    (University of Belgrade)

  • Marko Obradović

    (University of Belgrade)

Abstract

We study the Bahadur efficiency of several weighted L2-type goodness-of-fit tests based on the empirical characteristic function. The methods considered are for normality and exponentiality testing, and for testing goodness-of-fit to the logistic distribution. Our results are helpful in deciding which specific test a potential practitioner should apply. For the celebrated BHEP and energy tests for normality we obtain novel efficiency results, with some of them in the multivariate case, while in the case of the logistic distribution this is the first time that efficiencies are computed for any composite goodness-of-fit test.

Suggested Citation

  • Simos Meintanis & Bojana Milošević & Marko Obradović, 2023. "Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(7), pages 723-751, October.
    • Handle: RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-022-00891-0
    DOI: 10.1007/s00184-022-00891-0
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    References listed on IDEAS

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