Generalized probability-probability plots

N.A. Mushkudiani and John Einmahl

No 84, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: We introduce generalized Probability-Probability (P-P) plots in order to study the one-sample goodness-of-fit problem and the two-sample problem, for real valued data. These plots, that are constructed by indexing with the class of closed intervals, globally preserve the properties of classical P-P plots and are distribution-free under the null hypothesis. We also define the generalized P-P plot process and the corresponding, consistent tests. The behaviour of the tests under contiguous alternatives is studied in detail; in particular, limit theorems for the generalized P-P plot processes are presented. By their structure, the tests perform very well for spike (or pulse) alternatives. We also study the finite sample properties of the tests through a simulation study.

JEL-codes: C12 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004
View list of references

Downloads: (external link)
http://arno.uvt.nl/show.cgi?fid=12133 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200484

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Series data maintained by Corry Stuyts ().