On the Finite Sample Behavior of Fixed Bandwidth Bickel-Rosenblatt Test for Univariate and Multivariate Uniformity

@article{Tenreiro2007OnTF,
  title={On the Finite Sample Behavior of Fixed Bandwidth Bickel-Rosenblatt Test for Univariate and Multivariate Uniformity},
  author={Carlos Tenreiro},
  journal={Communications in Statistics - Simulation and Computation},
  year={2007},
  volume={36},
  pages={827-846}
}
The Bickel–Rosenblatt (BR) goodness-of-fit test with fixed bandwidth was introduced by Fan in 1998. Although its asymptotic properties have been studied by several authors, little is known about its finite sample performance. Restricting our attention to the test of uniformity in the d-unit cube for d ≥ 1, we present in this article a description of the finite sample behavior of the BR test as a function of the bandwidth h. For d = 1 our analysis is based not only on empirical power results but… CONTINUE READING

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