A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families

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.

• Publication year

  2022

• Venue

  Computational Statistics & Data Analysis

• Publication date

  2022-06-01

• Fields of study

  Mathematics, Computer Science

• Identifiers
  DOI 10.1016/j.csda.2022.107548arXiv 2206.09188
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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