Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap

Details Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap

2012-02-25

arxiv.org/abs/1202.5682v1

Statistics

Methodology

26 pages, 5 tables, 1 figure

Scientific paper

The process comparing the empirical cumulative distribution function of the sample with a parametric estimate of the cumulative distribution function is known as the empirical process with estimated parameters and has been extensively employed in the literature for goodness-of-fit testing. The simplest way to carry out such goodness-of-fit tests, especially in a multivariate setting, is to use a parametric bootstrap. Although very easy to implement, the parametric bootstrap can become very computationally expensive as the sample size, the number of parameters, or the dimension of the data increase. An alternative resampling technique based on a fast weighted bootstrap is proposed in this paper, and is studied both theoretically and empirically. The outcome of this work is a generic and computationally efficient multiplier goodness-of-fit procedure that can be used as a large-sample alternative to the parametric bootstrap. In order to approximately determine how large the sample size needs to be for the parametric and weighted bootstraps to have roughly equivalent powers, extensive Monte Carlo experiments are carried out in dimension one, two and three, and for models containing up to nine parameters. The computational gains resulting from the use of the proposed multiplier goodness-of-fit procedure are illustrated on trivariate financial data. A by-product of this work is a fast large-sample goodness-of-fit procedure for the bivariate and trivariate t distribution whose degrees of freedom are fixed.

Affiliated with

Also associated with

No associations

Rating

Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-291528