Approximation of Kolmogorov-Smirnov test statistic

DOI10.1080/17442508.2020.1844705MaRDI QIDQ5086716zbMATH OpenOpenAlexFDO

Authors Long Bai, David Kalaj

Publication date 7 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.08883

zbMATH Keywords

Brownian sheetexact asymptoticsGaussian fieldsKolmogorov-Smirnov test

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Motivated by the weak limit of the Kolmogorov-Smirnov test statistics, in this contribution, we concern the asymptotics of �egin{align*} mathbb{P}left{sup_{�oldsymbol{x}in [0,1]^n}left(W(�oldsymbol{x})Big| W(�oldsymbol{1})=w ight)>u ight}, winmathbb{R}, end{align*} for large $u$ where $$ is the multivariate Brownian sheet based on a distribution function $F$. The results related to general $F$ are investigated and some important examples are also showed.

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Cited in

(7)

• Kolmogorov statistic in the case of a piecewise-continuous distribution function
• Von Mises approximation of the critical value of a test
• Numerical approximations to distributions of weighted Kolmogorov-Smirnov statistics via integral equations
• Parametric hypothesis tests for exponentiality under multiplicative distortion measurement errors data
• Checking normality of model errors under additive distortion measurement errors
• Asymptotically distribution-free goodness-of-fit testing for normality: a log-transformed covariance-driven framework under multiplicative distortion
• Testing distribution for multiplicative distortion measurement errors

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