New tests based on Rubin's empirical distribution function |
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Authors: | Jianxin Zhao Xingzhong Xu |
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Affiliation: | 1. Navy Submarine Academy, Qingdao, China;2. Department of Mathematics, Beijing Institute of Technology, Beijing, China |
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Abstract: | In this paper we derive some new tests for goodness-of-fit based on Rubin's empirical distribution function (EDF). Substituting Rubin's EDF for the classical EDF in the Kolmogorov–Smirnov, Cramér–von Mises, Anderson–Darling statistics, since Rubin's EDF for a given sample is a randomized distribution function, randomized statistics are derived, of which the qth quantile and the expectation are chosen as test statistics. We show that the new tests are consistent under simple hypothesis. Several power comparisons are also performed to show that the new tests are generally more powerful than the classical ones. |
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Keywords: | Kolmogorov&ndash Smirnov test Anderson&ndash Darling test Cramé r&ndash von Mises test Rubin's empirical distribution function Goodness of fit |
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