Goodness-of-fit testing the error distribution in multivariate indirect regression

ELECTRONIC JOURNAL OF STATISTICS, pp. 2658-2685, 2019.

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Abstract:

We propose a goodness-of-fit test for the distribution of errors from a multivariate indirect regression model, which we assume belongs to a location-scale family under the null hypothesis. The test statistic is based on the Khmaladze transformation of the empirical process of standardized residuals. This goodness-of-fit test is consisten...More

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