A Saddlepoint Approximation to the Distribution Function of the Anderson-Darling Test Statistic

David Giles

No 5, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: The Anderson-Darling goodness-of-fit test has a highly skewed and non-standard limit distribution. Various attempts have been made to tabulate the associated critical points, using both theoretical approximations and simulation methods. We show that a standard saddlepoint approximation performs well in both tails of the distribution. It is markedly superior to other theoretical approximations in the lower tail of the distribution.

Keywords: preliminary testing; risk function; Bayes estimation (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2000-04-28
New Economics Papers: this item is included in nep-ecm
Note: ISSN 1485-6441
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0005

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