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arXiv · 1608.05122

Goodness-of-fit test in a multivariate errors-in-variables model $AX=B$

Alexander Kukush·Yaroslav Tsaregorodtsev
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Abstract

We consider a multivariable functional errors-in-variables model $AX\approx B$, where the data matrices $A$ and $B$ are observed with errors, and a matrix parameter $X$ is to be estimated. A goodness-of-fit test is constructed based on the total least squares estimator. The proposed test is asymptotically chi-squared under null hypothesis. The power of the test under local alternatives is discussed.

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Alexander Kukush, Yaroslav Tsaregorodtsev. 2016-08-17. Goodness-of-fit test in a multivariate errors-in-variables model $AX=B$. https://doi.org/10.15559/16-vmsta67

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