A power comparison and simulation study of goodness-of-fit tests

Sueruecue B.

COMPUTERS & MATHEMATICS WITH APPLICATIONS, vol.56, no.6, pp.1617-1625, 2008 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 56 Issue: 6
  • Publication Date: 2008
  • Doi Number: 10.1016/j.camwa.2008.03.010
  • Journal Name: COMPUTERS & MATHEMATICS WITH APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.1617-1625
  • Keywords: combined statistic, goodness-of-fit, normal, simulation, spacings, EMPIRICAL POWER, VARIANCE TEST, NORMALITY, EXPONENTIALITY
  • Middle East Technical University Affiliated: Yes

Abstract

We give the results of a comprehensive simulation Study Of the power properties of prominent goodness-of-fit tests. For testing the normal N(mu, sigma(2)), we propose a new omnibus goodness-of-fit statistic C which is a combination of the Shapiro-Wilk statistic W and the correlation statistic R. We show that the test of normality based on C is overall more powerful than other prominent goodness-of-fit tests and is effective against boil) symmetric as well as skew alternatives. We also show that the null distribution of C can be approximated by a four-moment F. For the exponential E(theta, sigma), Tiku statistic Z (using simple spacings) and modified Anderson-Darling A are the most powerful. For testing the statistics based on generalized sample spacings and the modified other distributions, Anderson-Darling statistic provide the most powerful tests. (c) 2008 Elsevier Ltd. All rights reserved.