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arXiv · 2206.09188

A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families

Feifei Chen·M. Dolores Jiménez-Gamero·Simos Meintanis·Lixing Zhu
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Abstract

A general and relatively simple method for construction of multivariate goodness-of-fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions via their characteristic function. The consistency and other limit properties of the new test statistics are studied. Also in a simulation study the proposed tests are compared with earlier as well as more recent competitors.

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Feifei Chen, M. Dolores Jiménez-Gamero, Simos Meintanis, Lixing Zhu. 2022-06-18. A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families. https://arxiv.org/abs/2206.09188

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