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Maximum Correlations and Tests of Goodness-of-Fit

In: Distributions With Given Marginals and Statistical Modelling

Author

Listed:
  • A. Grané

    (Universitat de Barcelona, Departament d’Estadística)

  • J. Fortiana

    (Universitat de Barcelona, Departament d’Estadística)

Abstract

Hoeffding’s maximum correlation coefficient equals unity when both distributions coincide. This fact suggests a method to test whether the cdf of an iid sequence of random variables is a given F, by computing this coefficient between F and the empirical cdf of the sequence. In this paper we present three instances of actual goodness-of-fit tests derived from this basic principle and we discuss their small- and large-sample properties.

Suggested Citation

  • A. Grané & J. Fortiana, 2002. "Maximum Correlations and Tests of Goodness-of-Fit," Springer Books, in: Carles M. Cuadras & Josep Fortiana & José A. Rodriguez-Lallena (ed.), Distributions With Given Marginals and Statistical Modelling, pages 113-123, Springer.
    • Handle: RePEc:spr:sprchp:978-94-017-0061-0_13
    DOI: 10.1007/978-94-017-0061-0_13
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