Bernoulli

  • Bernoulli
  • Volume 22, Number 3 (2016), 1331-1363.

Goodness of fit tests in terms of local levels with special emphasis on higher criticism tests

Veronika Gontscharuk, Sandra Landwehr, and Helmut Finner

Full-text: Open access

Abstract

Instead of defining goodness of fit (GOF) tests in terms of their test statistics, we present an alternative method by introducing the concept of local levels, which indicate high or low local sensitivity of a test. Local levels can act as a starting point for the construction of new GOF tests. We study the behavior of local levels when applied to some well-known GOF tests such as Kolmogorov–Smirnov (KS) tests, higher criticism (HC) tests and tests based on phi-divergences. The main focus is on a rigorous characterization of the asymptotic behavior of local levels of the original HC tests which leads to several further asymptotic results for local levels of other GOF tests including GOF tests with equal local levels. While local levels of KS tests, which are related to the central range, are asymptotically strictly larger than zero, all local levels of HC tests converge to zero as the sample size increases. Consequently, there exists no asymptotic level $\alpha$ GOF test such that all local levels are asymptotically bounded away from zero. Finally, by means of numerical computations we compare classical KS and HC tests to a GOF test with equal local levels.

Article information

Source
Bernoulli, Volume 22, Number 3 (2016), 1331-1363.

Dates
Received: February 2014
Revised: October 2014
First available in Project Euclid: 16 March 2016

Permanent link to this document
https://projecteuclid.org/euclid.bj/1458132984

Digital Object Identifier
doi:10.3150/14-BEJ694

Mathematical Reviews number (MathSciNet)
MR3474818

Zentralblatt MATH identifier
06579699

Keywords
higher criticism statistic Kolmogorov–Smirnov test local levels minimum $p$-value test Normal and Poisson approximation order statistics

Citation

Gontscharuk, Veronika; Landwehr, Sandra; Finner, Helmut. Goodness of fit tests in terms of local levels with special emphasis on higher criticism tests. Bernoulli 22 (2016), no. 3, 1331--1363. doi:10.3150/14-BEJ694. https://projecteuclid.org/euclid.bj/1458132984


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