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Power comparison of distribution-free two sample goodness-of-fit tests
- Authors
- Kim, Seon Bin; Lee, Jae Won
- Issue Date
- 8월-2017
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- Kolmogorov-Smirnov test; Cramer-von-Mises test; Anderson-Darling test; Epps-Singleton test; Mann-Whitney U test; goodness-of-fit test
- Citation
- KOREAN JOURNAL OF APPLIED STATISTICS, v.30, no.4, pp.513 - 528
- Indexed
- KCI
- Journal Title
- KOREAN JOURNAL OF APPLIED STATISTICS
- Volume
- 30
- Number
- 4
- Start Page
- 513
- End Page
- 528
- ISSN
- 1225-066X
- Abstract
- Statistics are often used to test two samples if they have been drawn from the same underlying distribution. In this paper, we introduce several well-known distribution-free tests to compare distributions and conduct an extensive Monte-Carlo simulation to specify their behaviors. We consider various circumstances of when two distributions vary in (1) location, (2) scale, (3) symmetry, (4) kurtosis, (5) tail weight. A practical guideline for two-sample goodness-of-fit test is presented based on the simulation result.
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