Goodness of Fit via Non-parametric Likelihood Ratios

To test if a density f is equal to a specified f0, one knows by the Neyman-Pearson lemma the form of the optimal test at a specified alternative f1. Any non-parametric density estimation scheme allows an estimate of f. This leads to estimated likelihood ratios. Properties are studied of tests which...

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Bibliographic Details
Published in:Scandinavian journal of statistics 2004-12, Vol.31 (4), p.487-513
Main Authors: Claeskens, Gerda, Hjort, Nils Lid
Format: Article
Language:English
Subjects:
AIC
Approximation
BIC
Cosine function
Density estimation
Estimators
Exact sciences and technology
Goodness of fit
Index sets
log-linear expansions
Mathematical functions
Mathematical models
Mathematics
non-parametric likelihood ratio
Nonparametric inference
Null hypothesis
Parametric models
Probability and statistics
Sciences and techniques of general use
Statistical analysis
Statistics
Studies
Tests
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Summary:To test if a density f is equal to a specified f0, one knows by the Neyman-Pearson lemma the form of the optimal test at a specified alternative f1. Any non-parametric density estimation scheme allows an estimate of f. This leads to estimated likelihood ratios. Properties are studied of tests which for the density estimation ingredient use log-linear expansions. Such expansions are either coupled with subset selectors like the Akaike information criterion and the Bayesian information criterion regimes, or use order growing with sample size. Our tests are generalized to testing the adequacy of general parametric models, and to work also in higher dimensions. The tests are related to, but are different from, the 'smooth tests' that go back to Neyman [Skandinavisk Aktuarietidsskrift 20 (1937) 149-199] and that have been studied extensively in recent literature. Our tests are large-sample equivalent to such smooth tests under local alternative conditions, but different from the smooth tests and often better under non-local conditions.
ISSN:0303-6898
1467-9469
DOI:10.1111/j.1467-9469.2004.00403.x