A new class of asymptotically distribution-free smooth tests
Abstract
This article demonstrates how recent developments in the theory of empirical processes allow us to construct a new family of asymptotically distribution-free smooth tests. Their distribution-free property is preserved even when the parameters are estimated, model selection is performed, and the sample size is only moderately large. A computationally efficient alternative to the classical parametric bootstrap is also discussed.
Fields of Study & Subjects
Statistical Methods and Inference
Bayesian Methods and Mixture Models
Financial Risk and Volatility Modeling
Publication details
- Journal / source
- Electronic Journal of Statistics
- Volume
- 20
- Issue
- 1
- Publication date
- 1 January 2026
- Language
- EN