A GOOGNESS OF-FIT-TEST FOR A MULTIVARIATE ERRORS-IN-VARIABLES MODEL

ALEXANDER KUKUSH AND MARIA POLEKHA

Theory of Stochastic Processes Vol. 12 (28), no. 3–4, 2006, pp. 63–74

A multivariate errors-in-variables model $AX\approx B$ is considered, 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 which is based on the moment estimator is constructed. The proposed test is asymptotically chi-squared under null hypothesis. The power of the test is discussed.

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