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New Goodness of Fit Tests Based on Stochastic EDF
Zhao, Jianxin1,2; Xu, Xingzhong2; Ding, Xiaobo3
AbstractA new approach of randomization is proposed to construct goodness of fit tests generally. Some new test statistics are derived, which are based on the stochastic empirical distribution function (EDF). Note that the stochastic EDF for a set of given sample observations is a randomized distribution function. By substituting the stochastic EDF for the classical EDF in the Kolmogorov-Smirnov, Cramer-von Mises, Anderson-Darling, Berk-Jones, and Einmahl-Mckeague statistics, randomized statistics are derived, of which the qth quantile and the expectation are chosen as test statistics. In comparison to existing tests, it is shown, by a simulation study, that the new test statistics are generally more powerful than the corresponding ones based on the classical EDF or modified EDF in most cases.
KeywordAnderson-Darling test Berk-Jones test Cramer-von Mises test Einmahl-Mckeague test Goodness of fit Kolmogorov-Smirnov test Stochastic empirical distribution function
Funding ProjectNational Natural Science Foundation of China[10771015]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000275111600012
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Document Type期刊论文
Corresponding AuthorZhao, Jianxin
Affiliation1.Navy Submarine Acad, Qingdao 266071, Peoples R China
2.Beijing Inst Technol, Dept Math, Beijing 100081, Peoples R China
3.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Zhao, Jianxin,Xu, Xingzhong,Ding, Xiaobo. New Goodness of Fit Tests Based on Stochastic EDF[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2010,39(6):1075-1094.
APA Zhao, Jianxin,Xu, Xingzhong,&Ding, Xiaobo.(2010).New Goodness of Fit Tests Based on Stochastic EDF.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,39(6),1075-1094.
MLA Zhao, Jianxin,et al."New Goodness of Fit Tests Based on Stochastic EDF".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 39.6(2010):1075-1094.
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