GofKmt: Khmaladze Martingale Transformation Goodness-of-Fit Test. Consider a goodness-of-fit(GOF) problem of testing whether a random sample comes from one sample location-scale model where location and scale parameters are unknown. It is well known that Khmaladze martingale transformation method provides asymptotic distribution free test for the GOF problem. This package contains one function: KhmaladzeTrans(). In this version, KhmaladzeTrans() provides test statistic and critical value of GOF test for normal, Cauchy, and logistic distributions.
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Khmaladze, Estate V.; Koul, Hira L.: Goodness-of-fit problem for errors in nonparametric regression: distribution free approach (2009)
- Khmaladze, Estate V.; Koul, Hira L.: Martingale transforms goodness-of-fit tests in regression models. (2004)