Non-Parametric Testing of Distributions – the Epps-Singleton two-sample test using the Empirical Characteristic Function
نویسندگان
چکیده
In statistics, two-sample tests are used to determine whether two samples have been drawn from the same population. A widely used test as such is the Kolmogorov-Smirnov two-sample test. There are other distribution-free tests which might be applied in similar occasions. In this article, we describe a two-sample omnibus test introduced by Epps and Singleton, which has – albeit being distribution-free – a greater power than the Kolmogorov-Smirnov test in most cases. The superiority of the Epps-Singleton characteristic function test is illustrated on two examples. We compare the two tests and supplement this contribution with a Stata implementation of the omnibus test.
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