Un test d'adéquation global pour la fonction de répartition conditionnelle

Abstract: We propose a global test of goodness-of-fit to assess the validity of an entertained statistical model by testing simultaneously all the assumptions made about it. This test is based on a local polynomial estimator of the conditional distribution function and on the standard paradigm relating the distance between the nonparametric estimator and the theoretical parametric model. We derive the asymptotic distribution of the resulting test statistic under both the null hypothesis and local alternatives. To cite this article: S. Ferrigno, G.R. Ducharme, C. R. Acad. Sci. Paris, Ser. I 341 (2005). [Copyright &y& Elsevier]