Optimal-Transport Based Multivariate Goodness-of-Fit Tests
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866913968324345856 |
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| author | Hlávka, Zdeněk Hudecová, Šárka Meintanis, Simos G. |
| author_facet | Hlávka, Zdeněk Hudecová, Šárka Meintanis, Simos G. |
| contents | Characteristic-function based goodness-of-fit tests are suggested for multivariate observations. The test statistics, which are straightforward to compute, are defined as two-sample criteria measuring discrepancy between multivariate ranks of the original observations and the corresponding ranks obtained from an artificial sample generated from the reference distribution under test. Multivariate ranks are constructed using the theory of the optimal measure transport, thus rendering the tests of a simple null hypothesis distribution-free, while bootstrap approximations are still necessary for testing composite null hypotheses. Asymptotic theory is developed and a simulation study, concentrating on comparisons with previously proposed tests of multivariate normality, demonstrates that the method performs well in finite samples. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2507_23490 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal-Transport Based Multivariate Goodness-of-Fit Tests Hlávka, Zdeněk Hudecová, Šárka Meintanis, Simos G. Statistics Theory Characteristic-function based goodness-of-fit tests are suggested for multivariate observations. The test statistics, which are straightforward to compute, are defined as two-sample criteria measuring discrepancy between multivariate ranks of the original observations and the corresponding ranks obtained from an artificial sample generated from the reference distribution under test. Multivariate ranks are constructed using the theory of the optimal measure transport, thus rendering the tests of a simple null hypothesis distribution-free, while bootstrap approximations are still necessary for testing composite null hypotheses. Asymptotic theory is developed and a simulation study, concentrating on comparisons with previously proposed tests of multivariate normality, demonstrates that the method performs well in finite samples. |
| title | Optimal-Transport Based Multivariate Goodness-of-Fit Tests |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2507.23490 |