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Paper detail

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

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.

preprint2022arXivOpen access
Feifei ChenM. Dolores Jiménez-GameroSimos MeintanisLixing Zhu
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Feifei ChenM. Dolores Jiménez-GameroSimos MeintanisLixing Zhu

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