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Local Power Properties of Kernel Based Goodness of Fit Tests

✍ Scribed by Christian Gouriéroux; Carlos Tenreiro

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
296 KB
Volume
78
Category
Article
ISSN
0047-259X

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✦ Synopsis

If (X i , i # Z) is a strictly stationary process with marginal density function f, we are interested in testing the hypothesis H 0 : [ f =f 0 ], where f 0 is given. We consider different test statistics based on integrated quadratic forms measuring the proximity between f n , a kernel estimator of f, and f 0 , or between f n and its expected value computed under H 0 . We study the asymptotic local power properties of the testing procedures under local alternatives. This study generalizes to the multidimensional case in a context of dependence the corresponding one made by P.

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