Adaptive goodness-of-fit testing from indirect observations
Butucea, Cristina ; Matias, Catherine ; Pouet, Christophe
Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, p. 352-372 / Harvested from Project Euclid
In a convolution model, we observe random variables whose distribution is the convolution of some unknown density f and some known noise density g. We assume that g is polynomially smooth. We provide goodness-of-fit testing procedures for the test H0: f=f0, where the alternative H1 is expressed with respect to $\mathbb{L}_{2}$ -norm (i.e. has the form $\psi_{n}^{-2}\|f-f_{0}\|_{2}^{2}\ge \mathcal{C}$ ). Our procedure is adaptive with respect to the unknown smoothness parameter τ of f. Different testing rates (ψn) are obtained according to whether f0 is polynomially or exponentially smooth. A price for adaptation is noted and for computing this, we provide a non-uniform Berry–Esseen type theorem for degenerate U-statistics. In the case of polynomially smooth f0, we prove that the price for adaptation is optimal. We emphasise the fact that the alternative may contain functions smoother than the null density to be tested, which is new in the context of goodness-of-fit tests.
Publié le : 2009-05-15
Classification:  Adaptive nonparametric tests,  Convolution model,  Goodness-of-fit tests,  Infinitely differentiable functions,  Partially known noise,  Quadratic functional estimation,  Sobolev classes,  Stable laws,  62F12,  62G05,  62G10,  62G20
@article{1241024673,
     author = {Butucea, Cristina and Matias, Catherine and Pouet, Christophe},
     title = {Adaptive goodness-of-fit testing from indirect observations},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {45},
     number = {1},
     year = {2009},
     pages = { 352-372},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1241024673}
}
Butucea, Cristina; Matias, Catherine; Pouet, Christophe. Adaptive goodness-of-fit testing from indirect observations. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp.  352-372. http://gdmltest.u-ga.fr/item/1241024673/