General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
نویسندگان
چکیده
منابع مشابه
General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
We consider the relative merits of various saddlepoint approximations for the c.d.f. of a statistic with a possibly non-normal limit distribution. In addition to the usual Lugannani-Rice approximation we also consider approximations based on higher-order expansions, including the case where the base distribution for the approximation is taken to be non-normal. This extends earlier work by Wood ...
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The Anderson-Darling goodness-of-fit test has a highly skewed and non-standard limit distribution. Various attempts have been made to tabulate the associated critical points, using both theoretical approximations and simulation methods. We show that a standard saddlepoint approximation performs well in both tails of the distribution. It is markedly superior to other theoretical approximations i...
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ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2008
ISSN: 0361-0918,1532-4141
DOI: 10.1080/03610910701730141