Goodness-of-fit test in a multivariate errors-in-variables model
Volume 3, Issue 4 (2016), pp. 287–302
Pub. online: 20 December 2016
Type: Research Article
Open Access
Open Access
Received
10 November 2016
10 November 2016
Revised
3 December 2016
3 December 2016
Accepted
4 December 2016
4 December 2016
Published
20 December 2016
20 December 2016
Abstract
We consider a multivariable functional errors-in-variables model $AX\approx B$, where the data matrices A and B are observed with errors, and a matrix parameter X is to be estimated. A goodness-of-fit test is constructed based on the total least squares estimator. The proposed test is asymptotically chi-squared under null hypothesis. The power of the test under local alternatives is discussed.
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