Generalized Cramér-von Mises goodness-of-fit tests for multivariate distributions

Sung Nok Chiu and Kwong Ip Liu

Computational Statistics & Data Analysis, 2009, vol. 53, issue 11, 3817-3834

Abstract: A class of statistics for testing the goodness-of-fit for any multivariate continuous distribution is proposed. These statistics consider not only the goodness-of-fit of the joint distribution but also the goodness-of-fit of all marginal distributions, and can be regarded as generalizations of the multivariate Cramér-von Mises statistic. Simulation shows that these generalizations, using the Monte Carlo test procedure to approximate their finite-sample p-values, are more powerful than the multivariate Kolmogorov-Smirnov statistic.

Date: 2009
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