A multivariate Kolmogorov-Smirnov test of goodness of fit

This paper presents a distribution-free multivariate Kolmogorov-Smirnov goodness-of-fit test. The test uses a 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 simulation study.

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Year of publication:	1997
Authors:	Justel, Ana ; Peña, Daniel ; Zamar, Rubén
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 35.1997, 3, p. 251-259
Publisher:	Elsevier
Keywords:	Bonferroni inequality Empirical distribution function Kolmogorov-Smirnov statistics Rosenblatt's transformation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223925