Christian Hennig
2004-Jun-29 18:08 UTC
[R] Goodness of fit test for estimated distribution
Hi, is there any method for goodness of fit testing of an (as general as possible) univariate distribution with parameters estimated, for normal, exponential, gamma distributions, say (e.g. the corrected p-values for the Kolmogorov-Smirnov or Chi-squared with corresponding ML estimation method)? It seems that neither ks.test nor chisq.test handle estimated parameters. I am aware of function goodfit in package vcd, which seems to it for some discrete distributions. Thank you for help, Christian *********************************************************************** Christian Hennig Fachbereich Mathematik-SPST/ZMS, Universitaet Hamburg hennig at math.uni-hamburg.de, http://www.math.uni-hamburg.de/home/hennig/ ####################################################################### ich empfehle www.boag-online.de
In full generality this is a quite difficult problem as discussed in
Durbin's (1973) SIAM monograph. An elegant general approach
is provided by Khmaladze
@article{Khma:Arie:1981,
author = {Khmaladze, E. V.},
title = {Martingale approach in the theory of goodness-of-fit
tests},
year = {1981},
journal = {Theory of Probability and its Applications (Transl of
Teorija Verojatnostei i ee Primenenija)},
volume = {26},
pages = {240--257}
}
but I don't think that there is a general implementation of the
approach for R, or
any other software environment, for that matter.
url: www.econ.uiuc.edu/~roger Roger Koenker
email rkoenker at uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
On Jun 29, 2004, at 1:08 PM, Christian Hennig wrote:
> Hi,
>
> is there any method for goodness of fit testing of an (as general as
> possible) univariate distribution with parameters estimated, for
> normal,
> exponential, gamma distributions, say (e.g. the corrected p-values for
> the Kolmogorov-Smirnov or Chi-squared with corresponding ML estimation
> method)?
> It seems that neither ks.test nor chisq.test handle estimated
> parameters.
> I am aware of function goodfit in package vcd, which seems to it for
> some
> discrete distributions.
>
> Thank you for help,
> Christian
>
>
> ***********************************************************************
> Christian Hennig
> Fachbereich Mathematik-SPST/ZMS, Universitaet Hamburg
> hennig at math.uni-hamburg.de, http://www.math.uni-hamburg.de/home/hennig/
> #######################################################################
> ich empfehle www.boag-online.de
>
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