Beta-trees for testing multivariate goodness-of-fit and localizing deviations from a model

Abstract

We introduce a novel goodness-of-fit (GOF) procedure based on Beta-tree partitions. A Beta-tree produces a data-adaptive partition of the sample space into regions and provides guaranteed finite sample confidence intervals for the probability contents of each region. The proposed test assesses whether the probabilities assigned by a null distribution $F_0$ fall within these intervals, thereby quantifying agreement between the model and the data. A key application is the selection of the number of components in a mixture model, where the null distribution is constructed via $k$-means clustering. In contrast to classical global GOF tests such as Kolmogorov-Smirnov or Anderson-Darling, which quantify the discrepancy through a single global statistic, our method is designed to detect local departures from the null and to identify regions of model misspecification. We demonstrate the efficiency of our test in detecting departures from the null on some simulated and real datasets.