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A multivariate Kolmogorov-Smornov test of goodnes of fit

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  • Justel, Ana
  • Peña, Daniel
  • Zamar, Rubén

Abstract

This paper presents a distribution free multivariate Kolmogorov-Smirnov goodıness of fit test. The test uses an statistic which is built using Rosenblatt's transformation and an algorithm is developed to compute it in the bivariate case. An approximate test, that can be easily computed in any dimension, is also presented. The power of these multivariate tests is studied in a simulationı study.

Suggested Citation

  • Justel, Ana & Peña, Daniel & Zamar, Rubén, 1994. "A multivariate Kolmogorov-Smornov test of goodnes of fit," DES - Working Papers. Statistics and Econometrics. WS 3955, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:3955
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    Keywords

    Empirical distribution function;

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