Arbeitspapier
On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic
We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of L1-FCvM. Finally, we link these values to theprobabilities that the underlying p-p plots emerge. Comparing the finitesample distribution with the (known) limiting distribution showsthat the latter can always be used for hypothesis testing: although forfinite samples the critical percentiles of the limiting distribution differfrom the exact values, this will not lead to differences in the rejectionof the underlying hypothesis.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 11-083/1
- Classification
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Specific Distributions; Specific Statistics
- Subject
-
Sample p-p plot
EDF test
finite sample distribution
limiting distribution
Statistische Verteilung
Statistischer Test
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Hinloopen, Jeroen
- Event
-
Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hinloopen, Jeroen
- Tinbergen Institute
Time of origin
- 2011
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