High precision implementation of Steck's recursion method for use in goodness-of-fit tests

Jiefei Wang and Jeffrey C. Miecznikowski

Journal of Applied Statistics, 2022, vol. 49, issue 6, 1348-1363

Abstract: Classical continuous goodness-of-fit (GOF) testing is employed for examining whether the data come from an assumed parametric model. In many cases, GOF tests assume a uniform null distribution and examine extreme values of the order statistics of the samples. Many of these statistics can be expressed by a function of the order statistics and the p-values amount to a joint probability statement based on the uniform order statistics. In this paper, we utilize Steck's recursion method and propose two high precision computing algorithms to compute the p-values for these GOF statistics. The numerical difficulties in implementing Steck's method are discussed and compared with solutions provided in high precision libraries.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:49:y:2022:i:6:p:1348-1363

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DOI: 10.1080/02664763.2020.1861224

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