6533b86ffe1ef96bd12cd258
RESEARCH PRODUCT
BICKEL–ROSENBLATT TEST FOR WEAKLY DEPENDENT DATA
Audris LocmelisJanis Valeinissubject
Score testgoodness-of-fitBickel-Rosenblatt testnonparametric density estimationNonparametric density estimationweak dependenceExact testGoodness of fitModeling and SimulationQA1-939Neyman's smooth testEconometricsChi-square testTest statisticApplied mathematicsGoldfeld–Quandt testMathematicsAnalysisMathematicsdescription
The aim of this paper is to analyze the Bickel–Rosenblatt test for simple hypothesis in case of weakly dependent data. Although the test has nice theoretical properties, it is not clear how to implement it in practice. Choosing different band-width sequences first we analyze percentage rejections of the test statistic under H0 by some empirical simulation analysis. This can serve as an approximate rule for choosing the bandwidth in case of simple hypothesis for practical implementation of the test. In the recent paper [12] a version of Neyman goodness-of-fit test was established for weakly dependent data in the case of simple hypotheses. In this paper we also aim to compare and discuss the applicability of these tests for both independent and dependent observations.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2012-06-01 | Mathematical Modelling and Analysis |