seminario

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Istituto Metodi Quantitativi - Universit L. Bocconi
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SEMINARIO



A new approach to goodness-of-fit testing based on the
integrated empirical process

Yakov Yu. Nikitin
St. Petersburg State University



gioved, 4 novembre 1999  -   ore 15.00
aula IMQ (stanza 124)


Summary:
A new approach is taken to goodness-of-fit testing,based on
Kolmogorov-Smirnov, Cram'er-von Mises and Watson type functionals of the
suitably integrated empirical process. A key limiting process is the
integrated Brownian bridge. The new test statistics are compared with
their classical "non-integrated" counterparts with respect to local
Bahadur efficiency in case of shift alternatives. Whereas the integrated
Kolmogorov-Smirnov test is locally Bahadur optimal for the logistic
distribution, an integrated omega^1_n-statistic turns out to be locally
Bahadur optimal for the  "root-logistic distribution" and the integrated
Watson statistic satisfies this property for the "hyperbolic cosine"
distribution.





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