Papers › Data-driven stabilizations of goodness-of-fit tests
Data-driven stabilizations of goodness-of-fit tests
Alberto Fernández-de-Marcos, Eduardo García-Portugués
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Exact null distributions of goodness-of-fit test statistics are generally challenging to obtain in tractable forms. Practitioners are therefore usually obliged to rely on asymptotic null distributions or Monte Carlo methods, either in the form of a lookup table or carried out on demand, to apply a goodness-of-fit test. There exist simple and useful transformations of several classic goodness-of-fit test statistics that stabilize their exact-n critical values for varying sample sizes n. However, detail on the accuracy of these and subsequent transformations in yielding exact p-values, or even deep understanding on the derivation of several transformations, is still scarce nowadays. The latter stabilization approach is explained and automated to (i) expand its scope of applicability and (ii) yield upper-tail exact p-values, as opposed to exact critical values for fixed significance levels. Improvements on the stabilization accuracy of the exact null distributions of the Kolmogorov-Smirnov, Cram\'er-von Mises, Anderson-Darling, Kuiper, and Watson test statistics are shown. In addition, a parameter-dependent exact-n stabilization for several novel statistics for testing uniformity on the hypersphere of arbitrary dimension is provided. A data application in astronomy illustrates the benefits of the advocated stabilization for quickly analyzing small-to-moderate sequentially-measured samples.
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