Comparing Distributions: The Harmonic Mass Index
AbstractThe information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying the HM test in case of asymmetric samples.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-122/1.
Date of creation: 22 Dec 2005
Date of revision: 30 Dec 2005
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Distribution; PP-plot; test statistic; critical percentile values; robustness.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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