Nonparametric goodness-of-fit

Abstract

This paper develops an approach to testing the adequacy of both classical and Bayesian models given sample data. An important feature of the approach is that we are able to test the practical scientific hypothesis of whether the true underlying model is close to some hypothesized model. The notion of closeness is based on measurement precision and requires the introduction of a metric for which we consider the Kolmogorov distance. The approach is nonparametric in the sense that the model under the alternative hypothesis is a Dirichlet process.

Keywords:

• Monte Carlo
• hypothesis testing
• Dirichlet process
• prior elicitation