Testing the Goodness of Fit of a Parametric Density Function by Kernel Method
提出基于核密度估计与参数密度估计的积分平方差来检验分布拟合优度，并证明其渐近性质，发现除一种检验外，其他检验在局部备择假设下比Kolmogorov-Smirnov检验更有效。
Let F denote a distribution function defined on the probability space (Ω, , P ), which is absolutely continuous with respect to the Lebesgue measure in R d with probability density function f . Let f 0 (·,β) be a parametric density function that depends on an unknown p × 1 vector β. In this paper, we consider tests of the goodness-of-fit of f 0 (·,β) for f (·) for some β based on (i) the integrated squared difference between a kernel estimate of f (·) and the quasimaximum likelihood estimate of f 0 (·,β) denoted by I n and (ii) the integrated squared difference between a kernel estimate of f (·) and the corresponding kernel smoothed estimate of f 0 (·, β) denoted by J n . It is shown in this paper that the amount of smoothing applied to the data in constructing the kernel estimate of f (·) determines the form of the test statistic based on I n . For each test developed, we also examine its asymptotic properties including consistency and the local power property. In particular, we show that tests developed in this paper, except the first one, are more powerful than the Kolmogorov-Smirnov test under the sequence of local alternatives introduced in Rosenblatt [12], although they are less powerful than the Kolmogorov-Smirnov test under the sequence of Pitman alternatives. A small simulation study is carried out to examine the finite sample performance of one of these tests.