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Edit Source Edit: Goodness-Of-Fit
Edit Source Edit: Goodness-Of-Fit
Edit Source Edit: Goodness-Of-Fit
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A multivariate goodness-of-fit measure is defined for distributions in arbitrary dimension (not restricted by sample size). The energy goodness-of-fit statistic is
where X and X' are independent and identically distributed according to the hypothesized distribution, and is that X has finite moment under the null hypothesis. Under the null hypothesis
distribution of Qn is a quadratic form of centered Gaussian random variables. Under an alternative hypothesis, Qntends to infinity stochastically, and thus determines a statistically consistent test. For most applications the exponent 1 (Euclidean distance) can be applied. The important special case of testing multivariate normality[2] is implemented in the energy package for R. Tests are also developed for heavy tailed distributions such as Pareto (power law), or stable distributions by application of exponents in (0,1).