Approximating the Distribution of the R/s Statistic

Denis Conniffe and John E. Spencer
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John E. Spencer: The Queen’s University of Belfast

The Economic and Social Review, 2000, vol. 31, issue 3, 237-248

Abstract: The R/s statistic, used for many years in hydrology, is increasingly employed in economics, although deficiencies in knowledge about its exact distribution have inhibited progress. Harrison and Treacy (1997) described some applications where R/s arises as a test statistic and they derived close to exact critical values for conventional (5 per cent etc.) significance levels for a range of sample values through Monte Carlo simulation. This paper examines two approaches. One is a simple adjustment to the asymptotic distribution that improves its upper tail accuracy greatly and the other is an approximation to the whole distribution, easily computed and suitable for “P-value” calculation, which is also reasonably precise in the upper tail. The Harrison and Treacy values and Monte Carlo simulation are used to confirm accuracy.

Date: 2000
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http://www.esr.ie/vol31_3/3Conniffe.pdf First version, 2000 (application/pdf)

Related works:
Working Paper: Approximating the Distribution of the R/s Statistic (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:eso:journl:v:31:y:2000:i:3:p:237-248

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