Smoothed Quantiles for Type Test Statistics with Applications

Chi-square type test statistics are widely used in assessing the goodness-of-fit of a theoretical model. The exact distributions of such statistics can be quite different from the nominal chi-square distribution due to violation of conditions encountered with real data. In such instances, the bootstrap or Monte Carlo methodology might be used to approximate the distribution of the statistic. However, the sample quantile may be a poor estimate of the population counterpart when either the sample size is small or the number of different values of the replicated statistic is limited. Using statistical learning, this article develops a method that yields more accurate quantiles for chi-square type test statistics. Formulas for smoothing the quantiles of chi-square type statistics are obtained. Combined with the bootstrap methodology, the smoothed quantiles are further used to conduct equivalence testing in mean and covariance structure analysis. Two real data examples illustrate the applications of the developed formulas in quantifying the size of model misspecification under equivalence testing. The idea developed in the article can also be used to develop formulas for smoothing the quantiles of other types of test statistics or parameter estimates.