A K-sample homogeneity test: the Harmonic Weighted Mass indexInternational Econometric Review (2012)
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that allows the index to be computed exactly under all circumstances. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.
- k-sample EDF test,
- p-p plot,
- d-d plot,
Citation InformationJeroen Hinloopen, Rien Wagenvoort and Charles van Marrewijk. "A K-sample homogeneity test: the Harmonic Weighted Mass index" International Econometric Review Vol. 4 Iss. 1 (2012) p. 17 - 39 ISSN: 1308-8793
Available at: http://works.bepress.com/hinloopen/13/