A multivariate Kolmogorov-Smornov test of goodnes of fit

Ana Justel and Rubén Zamar
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper presents a distribution free multivariate Kolmogorov-Smirnov goodıness of fit test. The test uses an statistic which is built using Rosenblatt's transformation and an algorithm is developed to compute it in the bivariate case. An approximate test, that can be easily computed in any dimension, is also presented. The power of these multivariate tests is studied in a simulationı study.

Keywords: Empirical; distribution; function; Kolmogorov-Smirnov; statistics; Rosenblatt's; transformation (search for similar items in EconPapers)
Date: 1994-09
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Journal Article: A multivariate Kolmogorov-Smirnov test of goodness of fit (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3955

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