A goodness-of-fit test for elliptical distributions with diagnostic capabilities

DOI10.48550/arXiv.1902.03622zbMath1440.62196arXiv1902.03622OpenAlexW3008435427MaRDI QIDQ146501

Pierre Lafaye de Micheaux, Gilles R Ducharme, Pierre Lafaye de Micheaux, Gilles R. Ducharme

Publication date: 10 February 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.03622

zbMATH Keywords

multivariate normal distributionelliptical distributionmultivariate Laplace distributionmultivariate logistic distributiondiagnostic informationsmooth goodness-of-fit test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Generalized linear models (logistic models) (62J12) Diagnostics, and linear inference and regression (62J20)

Related Items (7)

Ridge estimation in semi-parametric regression models under the stochastic restriction and correlated elliptically contoured errors ⋮ A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families ⋮ A Cramér-Wold theorem for elliptical distributions ⋮ Tests for high-dimensional single-index models ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ Asymptotics and practical aspects of testing normality with kernel methods ⋮ ECGofTestDx

Uses Software

• R
• CRAN
• ECGofTestDx

Cites Work

• Asymptotic theory for the test for multivariate normality by Cox and Small
• Tree based diagnostic procedures following a smooth test of goodness-of-fit
• Goodness-of-fit tests for multivariate Laplace distributions
• Consistency of some tests for multivariate normality
• A new approach to the BHEP tests for multivariate normality
• Smooth tests of goodness-of-fit for directional and axial data
• Global power functions of goodness of fit tests.
• Invariant tests for multivariate normality: A critical review
• The multivariate skew-slash distribution
• Harmonic Function Theory
• Smooth Tests of Goodness of Fit
• Elliptically Symmetric Distributions: A Review and Bibliography
• A class of invariant consistent tests for multivariate normality
• Rao score tests for goodness of fit and independence
• Data-Driven Version of Neyman's Smooth Test of Fit
• Measures of multivariate skewness and kurtosis with applications
• Diagnostic smooth tests of fit.
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