Two-Sample Smooth Tests for the Equality of Distributions

@inproceedings{Zhou2015TwoSampleST,
  title={Two-Sample Smooth Tests for the Equality of Distributions},
  author={Wen-Xin Zhou and C. D. Zheng and Zhen Zhang},
  year={2015}
}
This paper considers the problem of testing the equality of two unspecified distributions. The classical omnibus tests such as the Kolmogorov-Smirnov and Cram\`er-von Mises are known to suffer from low power against essentially all but location-scale alternatives. We propose a new two-sample test that modifies the Neyman's smooth test and extend it to the multivariate case based on the idea of projection pursue. The asymptotic null property of the test and its power against local alternatives… CONTINUE READING
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