Characterizations, Sub and Resampling, and Goodness of Fit

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Statistics Papers
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bootstrap
characterization
consistency
goodness of fit
normal
multivariate normal
power Q-Q
plot
scatterplot
subsampling
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Statistics and Probability
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Brown, Lawrence D
DasGupta, Anirban
Marden, John I
Politis, Dimitris
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Abstract

We present a general proposal for testing for goodness of fit, based on resampling and subsampling methods, and illustrate it with graphical and analytical tests for the problems of testing for univariate or multivariate normality. The proposal shows promising, and in some cases dramatic, success in detecting nonnormality. Compared to common competitors, such as a Q-Q plot or a likelihood ratio test against a specified alternative, our proposal seems to be the most useful when the sample size is small, such as 10 or 12, or even very small, such as 6! We also show how our proposal provides tangible information about the nature of the true cdf from which one is sampling. Thus, our proposal also has data analytic value. Although only the normality problem is addressed here, the scope of application of the general proposal should be much broader.

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2004-01-01
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Institute of Mathematical Statistics Lecture Notes - Monograph Series
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