Evaluating the Anderson-Darling Distribution

George Marsaglia and John Marsaglia

Journal of Statistical Software, 2004, vol. 009, issue i02

Abstract: Except for n = 1, only the limit as n approaches infinity for the distribution of the Anderson-Darling test for uniformity has been found, and that in so complicated a form that published values for a few percentiles had to be determined by numerical integration, saddlepoint or other approximation methods. We give here our method for evaluating that asymptotic distribution to great accuracy--directly, via series with two-term recursions. We also give, for any particular n, a procedure for evaluating the distribution to the fourth digit, based on empirical CDF's from samples of size 1010 .

Date: 2004-02-25
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:009:i02

DOI: 10.18637/jss.v009.i02

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