GofKmt: Khmaladze Martingale Transformation Goodness-of-Fit Test

Consider a goodness-of-fit (GOF) problem of testing whether a random sample comes from one sample location-scale model where location and scale parameters are unknown. It is well known that Khmaladze martingale transformation method proposed by Khmaladze (1981) <doi:10.1137/1126027> provides asymptotic distribution free test for the GOF problem. This package provides test statistic and critical value of GOF test for normal, Cauchy, and logistic distributions. This package used the main algorithm proposed by Kim (2020) <doi:10.1007/s00180-020-00971-7> and tests for other distributions will be available at the later version.

install.packages("GofKmt")

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