On the exact finite sample distribution of the L1-FCvM test statisticCommunications in Statistics - Simulation and Computation (2014)
We derive the exact finite sample distribution of the L1-version of the Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterize the set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the corresponding value of L1-FCvM. Finally, we link these values to the probabilities that the underlying p-p plots emerge. comparing the finite sample 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.
- Sample p-p plot,
- EDF test,
- finite sample distribution,
- limiting distribution
Citation InformationJeroen Hinloopen and Rien Wagenvoort. "On the exact finite sample distribution of the L1-FCvM test statistic" Communications in Statistics - Simulation and Computation Vol. 43 Iss. 6 (2014) p. 1304 - 1317 ISSN: 0361-0918
Available at: http://works.bepress.com/hinloopen/9/