Some multivariate goodness of fit tests based on data depth

On the Canonical-Based Goodness-of-fit Tests for Multivariate Skew-Normality

It is well-known that the skew-normal distribution can provide an alternative model to the normal distribution for analyzing asymmetric data. The aim of this paper is to propose two goodness-of-fit tests for assessing whether a sample comes from a multivariate skew-normal (MSN) distribution. We address the problem of multivariate skew-normality goodness-of-fit based on the empirical Laplace tra...

On Goodness-of-fit Tests

Goodness-of-Fit Tests for Copulas of Multivariate Time Series

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the distribution of innovations are discussed. It is also shown that if the stochastic volatility matrices are...

An Updated Review of Goodness of Fit Tests Based on Entropy

Different approaches to goodness of fit (GOF) testing are proposed. This survey intends to present the developments on Goodness of Fit based on entropy during the last 50 years, from the very first origins until the most recent advances for different data and models. Goodness of fit tests based on Shannon entropy was started by Vasicek in 1976 and were continued by many authors. In this paper, ...

Robust multivariate control chart based on goodness-of-fit test

This paper proposes a distribution-free multivariate statistical process control (MSPC) chart to detect general distributional changes in multivariate process variables. The chart is deployed based on a multivariate goodness-of-fit test, which is extensible to high dimensional observations. The chart also employs data-dependent control limits, which are computed on line along with the charting ...