The Annals of Statistics
- Ann. Statist.
- Volume 1, Number 6 (1973), 1071-1095.
On Some Global Measures of the Deviations of Density Function Estimates
We consider density estimates of the usual type generated by a weight function. Limt theorems are obtained for the maximum of the normalized deviation of the estimate from its expected value, and for quadratic norms of the same quantity. Using these results we study the behavior of tests of goodness-of-fit and confidence regions based on these statistics. In particular, we obtain a procedure which uniformly improves the chi-square goodness-of-fit test when the number of observations and cells is large and yet remains insensitive to the estimation of nuisance parameters. A new limit theorem for the maximum absolute value of a type of nonstationary Gaussian process is also proved.
Ann. Statist., Volume 1, Number 6 (1973), 1071-1095.
First available in Project Euclid: 12 April 2007
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Bickel, P. J.; Rosenblatt, M. On Some Global Measures of the Deviations of Density Function Estimates. Ann. Statist. 1 (1973), no. 6, 1071--1095. doi:10.1214/aos/1176342558. https://projecteuclid.org/euclid.aos/1176342558
- See Correction: P. J. Bickel, M. Rosenblatt. Notes: Corrections to "On Some Global Measures of the Deviations of Density Function Estimates". Ann. Statist., Volume 3, Number 6 (1975), 1370--1370.