Cramér-von Mises statistics based on the sample quantile function and estimated parameters

Vincent LaRiccia and David M. Mason

Journal of Multivariate Analysis, 1986, vol. 18, issue 1, 93-106

Abstract: The estimated weighted empirical quantile process is introduced, and under mild regularity conditions is shown to converge weakly in L2(0, 1) to a Gaussian process. This leads to an elementary approach to the derivation of the asymptotic null distribution of Cramér-von Mises type statistics for testing a composite null hypothesis based on the sample quantile function and estimated parameters. Special emphasis is given to the location/scale composite null hypothesis.

Keywords: weak; convergence; Cramer-von; Mises; statistics; sample; quantile; function; composite; null; hypothesis (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (2)

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