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T. W. Anderson; D. A. Darling
Journal of the American Statistical Association, Vol. 49, No. 268. (Dec., 1954), pp. 765-769.
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Wed Aug 29 17:16:15 2007
A TEST OF GOODNESS OF F I T
T. IT. ANDERSON A N D D. A. DARLING*
Columbia University and University of Michigan
Some (large sample) significance points are tabulated for
a distribution-free test of goodness of fit which was introduced
earlier by the authors. The test, which uses the actual ob-
servations without grouping, is sensitive to discrepancies a t the
tails of the distribution rather than near the median. An il-
lustration is given, using a numerical example used previously
by Birnbaum in illustrating the Kolmogorov test.
1. T H E PROCEDURE
In practice the procedure really tests the hypothesis that the sample
has been drawn from a population with a completely specified density
function, since the cumulative distribution function is simply the integral
of the density.
The test procedure we have proposed earlier [l]is the following: Let
xl 5 x2 j --. 5 xn be the n observations in the sample in order, and let
u i= F(xi). Then compute
'.
+ log ( 1 - u , - ~ + ~ ) ]
L
(2) lPn2 = - n - - (2j - 1) [log ui
n
where the logarithms are the natural logarithms. If this number is too
large, the hypothesis is to be rejected.
This procedure may be used if one wishes to reject the hypothesis
whenever the true distribution differs materially from the hypothetical
and especially when it differs in the tails.
Significance points for W n 2are not available for small sample sizes. The
asymptotic significance points are given below:
"
Work sponsored b y Office of Scientific Research, U. S. Air Force, Contract AFlS(600)-442,
Project No. R-345-20-7.
The authors nish t o acknowledge the assistance of Vernon .Johns in the computatione.
766 AMERICAN STATISTICAL ASSOCIATION JOURNAL, DECEMBER 1954
2. A NUMERICAL ILLUSTRATION
3. DERIVATION OF T H E CRITERION
no. of xi $ x
Fn(x) =
n
Under the null hypothesis (H(x) = F(x)), the variance is F(x)[l- F(x)].
In a sense, we would equalize the sampling error over the entire range
of x by weighting the deviation by the reciprocal of the standard devi-
ation under the null hypothesis, that is, by using
as a weight function. This function has the effect of weighting the tails
heavily since this function is large near u = 0 and u = 1. I t is this weight
function (6) which we treat in the present note.
Formula (2) is obtained by writing (4) as
768 AMERICAN STATISTICAL ASSOCIATION JOURNAL, DECEMBER 1954
and that the inversion of this characteristic function gave for the limiting
cumulative distribution of Wn2the expression
The terms of this series alternate in sign and the (j+l)st term is less
than the jth term, jz 1; thus the error involved in using only j terms of
this series is less than the G+l)st term for j2O. By using the fact that
ezi[8(w2+1)l~ezi81 one can easily verify that to compute the prob-
abilities correctly to four decimal places, one needs only the 0-th term
for the first two significance points and the 0-th and 1-st terms for the
third significance point. The laborious part of the computation is the
evaluation of the integral. Let [(4j+ 1)n/24i)]w = y; then the inte-
grand is f(y)e-*u2. The y-axis was divided into intervals according to the
integral e-tu2 and numerical integration was performed.
A TEST OF GOODNESS OF FIT 769
The moments of the asymptotic distribution are fairly easy to obtain
from formulas given in [I]. The first two are
m
I
n-m j=1
7
3(3 + 1)
m 1 2
lim Var (Wn2)= 2
n--
C jz(j + I)2 - -
jZ1 3
( r 2 - 9) N .57974.