An Order Selection Criterion for Testing Goodness of Fit
用于拟合优度检验的阶数选择准则
The classical problem of assessing the goodness of fit of a postulated parametric distribution is investigated using techniques from nonparametric density estimation. A new test is proposed based on the data-selected order of a Fourier series density estimator. This test has the novel feature of providing an associated nonparametric estimator that can be used to estimate the unknown density when the null hypothesis is rejected. The limiting null distribution of the proposed…