Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic

Arbeitspapier

P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent ties. Distributions of EDF test statistics are embedded in this set. It is thus used to derive the exact finite sample distribution of the L1-version of the Fisz-Cramér-von Mises test. Comparing this distribution with the (known) limiting distribution shows that the latter can always be used for hypothesis testing: although for finite samples the critical percentiles of the limiting distribution differ from the exact values, this will not lead to differences in the rejection of the underlying hypothesis.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 10-083/1

Classification and Topics

• 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 ; Nichtparametrisches Verfahren ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hinloopen, Jeroen ; Wagenvoort, Rien
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/86930
• Last update: 10.03.2025, 11:43 AM CET