A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families
Methodology
2022-06-22 v1
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.
Keywords
Cite
@article{arxiv.2206.09188,
title = {A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families},
author = {Feifei Chen and M. Dolores Jiménez-Gamero and Simos Meintanis and Lixing Zhu},
journal= {arXiv preprint arXiv:2206.09188},
year = {2022}
}