Testing goodness of fit for the distribution of errors in multivariate linear models

被引：21

作者：

Gamero, MDJ ^{[1
]}

García, JM ^{[1
]}

Mejías, RP ^{[1
]}

机构：

[1] Univ Sevilla, Fac Matemat, Dpto Estadist & Invest Operat, Seville, Spain

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2005年 / 95卷 / 02期

关键词：

linear models; distribution of errors; goodness-of-fit; residuals; characteristic function;

D O I：

10.1016/j.jmva.2004.08.010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, to test goodness of fit to any fixed distribution of errors in multivariate linear models, we consider a weighted integral of the squared modulus of the difference between the empirical characteristic function of the residuals and the characteristic function under the null hypothesis. We study the limiting behaviour of this test statistic under the null hypothesis and under alternatives. In the asymptotics, the rank of the design matrix is allowed to grow with the sample size. (C) 2004 Elsevier Inc. All rights reserved.

引用

页码：301 / 322

页数：22

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