STA 290 Seminar: Hira Koul

STA 290 Seminar Series

Thursday, October 20th, 4:10pm, MSB 1147 (Colloquium Room)

Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)

Speaker:          Hira Koul (Michigan State University)

Title: "A Goodness-of-fit test for marginal distribution of linear random fields with long memory"

Abstract: In this talk we shall address the problem of fitting a known distribution function to the marginal distribution of a stationary long memory moving average random field observed on increasing ν-dimensional “cubic” domains when its mean μ and standard deviation σ are known or unknown. Using two suitable estimators of μ and a classical estimate of σ, a modification of the Kolmogorov-Smirnov statistic is defined based on the residual empirical process and having a Cauchy-type limit distribution, independent of μ, σ and the long memory parameter d. Based on this result, a simple goodness-of-fit test for the marginal distribution is constructed, which does not require the estimation of d or any other underlying nuisance parameters. The result is new even for the case of time series, i.e., when ν = 1. Findings of a simulation study investigating the finite sample behavior of size and power of the proposed test will be also reported.