Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic
AbstractP-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent ties. Distributions of EDF test statistics are embedded in this set. It is thus used to derive the exact finite sample distribution of the L 1-version of the Fisz-Cramér-von Mises test. Comparing this distribution with the (known) limiting distribution shows that the latter can always be used for hypothesis testing: although for finite samples the critical percentiles of the limiting distribution differ from the exact values, this will not lead to differences in the rejection of the underlying hypothesis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 10-083/1.
Date of creation: 30 Aug 2010
Date of revision:
Contact details of provider:
Web page: http://www.tinbergen.nl
Sample p-p plot; EDF test; finite sample distribution; limiting distribution;
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
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Maartens (+31 626 - 160 892)).
If references are entirely missing, you can add them using this form.