5,240 research outputs found
Goodness of Fit Tests via Exponential Series Density Estimation
This paper explores the properties of a new nonparametric goodness of fit test, based on the likelihood ratio test of Portnoy (1988). It is applied via the consistent series density estimator of Crain (1974) and Barron and Sheu (1991). The asymptotic properties are established as trivial corollaries to the results of those papers as well as from similar results in Marsh (2000) and Claeskens and Hjort (2004). The paper focuses on the computational and numerical properties. Specifically it is found that the choice of approximating basis is not crucial and that the choice of model dimension, through consistent selection criteria, yields a feasible procedure. Extensive numerical experiments show that the usage of asymptotic critical values is feasible in moderate sample seizes. More importantly the new tests are shown to have significantly more power than established tests such as the Kolmogorov-Smirnov, Cramer-von Mises or Anderson-Darling. Indeed, for certain interesting alternatives the power of the proposed tests may be several times that of the established ones.
Gaussian limits for generalized spacings
Nearest neighbor cells in , are used to define
coefficients of divergence (-divergences) between continuous multivariate
samples. For large sample sizes, such distances are shown to be asymptotically
normal with a variance depending on the underlying point density. In ,
this extends classical central limit theory for sum functions of spacings. The
general results yield central limit theorems for logarithmic -spacings,
information gain, log-likelihood ratios and the number of pairs of sample
points within a fixed distance of each other.Comment: Published in at http://dx.doi.org/10.1214/08-AAP537 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns
Information theory provides ideas for conceptualising information and
measuring relationships between objects. It has found wide application in the
sciences, but economics and finance have made surprisingly little use of it. We
show that time series data can usefully be studied as information -- by noting
the relationship between statistical redundancy and dependence, we are able to
use the results of information theory to construct a test for joint dependence
of random variables. The test is in the same spirit of those developed by
Ryabko and Astola (2005, 2006b,a), but differs from these in that we add extra
randomness to the original stochatic process. It uses data compression to
estimate the entropy rate of a stochastic process, which allows it to measure
dependence among sets of random variables, as opposed to the existing
econometric literature that uses entropy and finds itself restricted to
pairwise tests of dependence. We show how serial dependence may be detected in
S&P500 and PSI20 stock returns over different sample periods and frequencies.
We apply the test to synthetic data to judge its ability to recover known
temporal dependence structures.Comment: 22 pages, 7 figure
vsgoftest: An R Package for Goodness-of-Fit Testing Based on Kullback-Leibler Divergence
The R package vsgoftest performs goodness-of-fit (GOF) tests, based on Shannon entropy and Kullback-Leibler divergence, developed by Vasicek (1976) and Song (2002), of various classical families of distributions. The so-called Vasicek-Song (VS) tests are intended to be applied to continuous data - typically drawn from a density distribution, even including ties. Their excellent properties - they exhibit high power in a large variety of situations, make them relevant alternatives to classical GOF tests in any domain of application requiring statistical processing. The theoretical framework of VS tests is summarized and followed by a detailed description of the different features of the package. The power and computational time performances of VS tests are studied through their comparison with other GOF tests. Application to real datasets illustrates the easy-to-use functionalities of the vsgoftest package
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