ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS

Marco Capasso, Lucia Alessi, Matteo Barigozzi and Giorgio Fagiolo ()

Advances in Complex Systems (ACS), 2009, vol. 12, issue 02, 157-167

Abstract: This paper discusses some problems possibly arising when approximating via Monte-Carlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown parameters on each simulated Monte-Carlo sample — and thus avoiding to employ this information to build the test statistic — may lead to wrong, overly-conservative. Furthermore, we present some simple examples suggesting that the impact of this possible mistake may turn out to be dramatic and does not vanish as the sample size increases.

Keywords: Goodness-of-fit tests; critical values; Anderson–Darling statistic; Kolmogorov–Smirnov statistic; Kuiper statistic; Cramér–Von Mises statistic; empirical distribution function; Monte-Carlo simulations; 02.50.Ng; 02.70.Uu; 05.10.Ln (search for similar items in EconPapers)
Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219525909002131
Access to full text is restricted to subscribers

Related works:
Working Paper: On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:acsxxx:v:12:y:2009:i:02:n:s0219525909002131

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219525909002131

Access Statistics for this article

Advances in Complex Systems (ACS) is currently edited by Frank Schweitzer

More articles in Advances in Complex Systems (ACS) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().