Goodness of fit tests
Anderson-Darling goodness of fit tests for extreme-value distributions, from Laio (2004).
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cumulative distribution function (that has to be sorted increasingly)
Transformed test statistic (Laio, 2004)
An introduction on the Anderson-Darling test is available on http://en.wikipedia.org/wiki/Anderson-Darling_test and in the
GOFmontecarlo help page.
The original paper of Laio (2004) is available on his web site.
A2_GOFlaio tests the goodness of fit of a distribution with the sample
x; it return the value A_2 of the Anderson-Darling statistics and its non-exceedence probability P(A2).
Note that P is the probability of obtaining the test statistic A2 lower than the one that was actually observed, assuming that the null hypothesis is true, i.e., P is one minus the p-value usually employed in statistical testing (see http://en.wikipedia.org/wiki/P-value).
If P(A2) is, for example, greater than 0.90, the null hypothesis at significance level α=10\% is rejected.
A2 is the Anderson-Darling test statistic; it is used by
W2 is the Cramer-von Mises test statistic.
fw2 is the approximation of the probability distribution of
w (first 2 terms) when H_0 is true (Anderson-Darling, 1952); it is used by
For information on the package and the Author, and for all the references, see
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