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September, 1983 A Modified Kolmogorov-Smirnov Test Sensitive to Tail Alternatives
David M. Mason, John H. Schuenemeyer
Ann. Statist. 11(3): 933-946 (September, 1983). DOI: 10.1214/aos/1176346259

Abstract

It is well known that the Kolmogorov-Smirnov (K-S) test exhibits poor sensitivity to deviations from the hypothesized distribution that occur in the tails. A modified version of the K-S test is introduced that is more sensitive than the K-S test to deviations in the tails. The finite and infinite sample distribution along with the consistency properties of the proposed test are studied. Tables of critical values are provided for two versions of the test (one sensitive to heavy tail alternatives and one sensitive to light tail alternatives) and the finite sample properties of these two versions of the test are investigated.

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David M. Mason. John H. Schuenemeyer. "A Modified Kolmogorov-Smirnov Test Sensitive to Tail Alternatives." Ann. Statist. 11 (3) 933 - 946, September, 1983. https://doi.org/10.1214/aos/1176346259

Information

Published: September, 1983
First available in Project Euclid: 12 April 2007

zbMATH: 0547.62028
MathSciNet: MR707943
Digital Object Identifier: 10.1214/aos/1176346259

Subjects:
Primary: 62G10
Secondary: 62E20

Rights: Copyright © 1983 Institute of Mathematical Statistics

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Vol.11 • No. 3 • September, 1983
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