The Annals of Statistics
- Ann. Statist.
- Volume 11, Number 3 (1983), 933-946.
A Modified Kolmogorov-Smirnov Test Sensitive to Tail Alternatives
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.
Ann. Statist., Volume 11, Number 3 (1983), 933-946.
First available in Project Euclid: 12 April 2007
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Mason, David M.; Schuenemeyer, John H. A Modified Kolmogorov-Smirnov Test Sensitive to Tail Alternatives. Ann. Statist. 11 (1983), no. 3, 933--946. doi:10.1214/aos/1176346259. https://projecteuclid.org/euclid.aos/1176346259
- See Correction: David M. Mason, John H. Schuenemeyer. Correction: A Modified Kolmogorov-Smirnov Test Sensitive to Tail Alternatives. Ann. Statist., Volume 20, Number 1 (1992), 620--621.