Generalized Cramér–von Mises goodness-of-fit tests for multivariate distributions

Sung Nok Chiu*, Kwong Ip Liu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)
14 Downloads (Pure)

Abstract

A class of statistics for testing the goodness-of-fit for any multivariate continuous distribution is proposed. These statistics consider not only the goodness-of-fit of the joint distribution but also the goodness-of-fit of all marginal distributions, and can be regarded as generalizations of the multivariate Cramér–von Mises statistic. Simulation shows that these generalizations, using the Monte Carlo test procedure to approximate their finite-sample -values, are more powerful than the multivariate Kolmogorov–Smirnov statistic.
Original languageEnglish
Pages (from-to)3817-3834
Number of pages18
JournalComputational Statistics and Data Analysis
Volume53
Issue number11
DOIs
Publication statusPublished - 1 Sep 2009

Scopus Subject Areas

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics

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