On the asymptotic behaviour of location-scale invariant Bickel-Rosenblatt tests

Location-scale invariant Bickel-Rosenblatt goodness-of-fit tests (lBR tests) are considered in this paper to test the hypothesis that f, the common density function of the observed independent d-dimensional random vectors, belongs to a null location-scale family of density functions. The asymptotic behaviour of the test procedures for fixed and non-fixed bandwidths is studied by using an unifying approach. We establish the limiting null distribution of the test statistics, the consistency of the associated tests and we derive its asymptotic power against sequences of local alternatives. These results show the asymptotic superiority, for fixed and local alternatives, of IBR tests with fixed bandwidth over IBR tests with non-fixed bandwidth. (c) 2006 Elsevier B.V. All rights reserved.