Goodness-of-fit Tests via Phi-divergences

@inproceedings{Wellner2006GoodnessoffitTV,
  title={Goodness-of-fit Tests via Phi-divergences},
  author={J. A. Wellner},
  year={2006}
}
A unified family of goodness-of-fit tests is introduced and studied. The new family of test statistics Sn(s) includes both the supremum version of the Anderson-Darling statistic and the test statistic of Berk and Jones (1979) as special cases. The new family is based on phi-divergences somewhat analogously to the phi-divergence tests for multinomial families introduced by Cressie and Read (1984), and is indexed by a real parameter s ∈ R: s = 2 gives the Anderson Darling test statistic, s = 1… CONTINUE READING
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