On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test.

Título inglés	On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test.
Título español	Sobre el papel del ancho de banda fijo en el test de bondad de ajuste de Bickel-Rosenblatt.
Autor/es	Tenreiro, Carlos
Organización	Dep. Mat. Univ. Coimbra, Coimbra, Portugal
Revista	1696-2281
Publicación	2005, 29 (2): 201-216, 27 Ref.
Tipo de documento	articulo
Idioma	Inglés
Resumen inglés	For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f = f0 and we use them to get a better understanding on the role played by the smoothing parameter in the detection of departures from the null hypothesis. When f0 is an univariate normal distribution and we take for kernel the standard normal density function, we compute these slopes for a set of Edgeworth alternatives which give us a description of the test properties in terms of the bandwidth h. A simulation study is presented which indicates that finite sample properties are in good accordance with the theoretical properties based on Bahadur local efficiency. Comparisons woth the quadratic classical EDF tests lead us to recommend a test based on a combination of bandwidths in alternative to Anderson-Darling or Cramér-von Mises tests.
Clasificación UNESCO	120913
Palabras clave español	Test de bondad de ajuste ; Inferencia paramétrica ; Ancho de banda ; Kernel
Código MathReviews	MR2208557
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