General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
AbstractWe 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 et al. (1993). These approximations are applied to the distribution of the Anderson-Darling test statistic. While these generalizations perform well in the middle of the distribution’s support, a conventional normal-based Lugannani-Rice approximation (Giles, 2001) is superior for conventional critical regions.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0702.
Length: 25 pages
Date of creation: 24 May 2007
Date of revision:
Note: ISSN 1485-6441
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Saddlepoint approximation; goodness-of-fit; Anderson-Darling test;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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- David E. A. Giles, 2000. "A Saddlepoint Approximation to the Distribution Function of the Anderson-Darling Test Statistic," Econometrics Working Papers 0005, Department of Economics, University of Victoria.
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