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The two-stage i -corrected Kolmogorov-Smirnov test

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  • H. J. Khamis

Abstract

The delta-corrected Kolmogorov-Smirnov test has been shown to be uniformly more powerful than the classical Kolmogorov-Smirnov test for small to moderate sample sizes. However, the delta-corrected test consists of two tests, leading to a slight inflation of the experimentwise type I error rate. The critical values of the delta-corrected test are adjusted to take into account the two-stage nature of the test, ensuring an experimentwise error rate at the nominal level. A power study confirms that the resulting so-called two-stage delta-corrected test is uniformly more powerful than the classical Kolmogorov-Smirnov test, with power improvements of up to 46 percentage points.

Suggested Citation

  • H. J. Khamis, 2000. "The two-stage i -corrected Kolmogorov-Smirnov test," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(4), pages 439-450.
    • Handle: RePEc:taf:japsta:v:27:y:2000:i:4:p:439-450
    DOI: 10.1080/02664760050003623
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    References listed on IDEAS

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    1. Y. A. S. Hegazy & J. R. Green, 1975. "Some New Goodness‐Of‐Fit Tests Using Order Statistics," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 24(3), pages 299-308, November.
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    Cited by:

    1. Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.

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