Description Usage Arguments Details Value References See Also Examples
Kolmogorov-Smirnov test providing a comparison of a fitted distribution with the empirical distribution.
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x |
a numeric vector of data values |
distn |
character string naming the null distribution |
fit |
list of null distribution parameters |
H |
a treshold value |
alternative |
indicates the alternative hypothesis and must be one of "two.sided" (default), "less", or "greater". Initial letter must be specified only. |
sim |
maximum number of szenarios in the Monte-Carlo simulation |
tol |
if the difference of two subsequent p-value calculations is lower than |
estfun |
an function as character string or |
The Kolmogorov-Smirnov test compares the null distribution with the empirical distribution function of the observed data, where left truncated data samples are allowed. The test statistic is given by
KS+ = sqrt(n)/(1-zH) sup(zH + j/n (1-zH) -zj)
KS+ = sqrt(n)/(1-zH) sup(zj - (zH + (j-1)/n (1-zH)))
KS = max(KS+, KS-)
with z_H = F_theta(H) and z_j=F_theta(x_j), where x_1, …, x_n are the ordered data values. Here, F_theta is the null distribution.
A list with class "mchtest" containing the following components
statistic |
the value of the Kolmogorov-Smirnov statistic |
treshold |
the treshold value |
p.value |
the p-value of the test |
data.name |
a character string giving the name of the data |
method |
the character string "Kolmorov-Smirnov test" |
alternative |
the alternative |
sim.no |
number of simulated szenarios in the Monte-Carlo simulation |
Chernobay, A., Rachev, S., Fabozzi, F. (2005), Composites goodness-of-fit tests for left-truncated loss samples, Tech. rep., University of Calivornia Santa Barbara
ad.test
, v.test
, adup.test
for other supremum class tests and ad2.test
, ad2up.test
,
w2.test
for quadratic class tests. For more details see mctest
.
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