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Anderson–Darling test (n∫F0​(1−F0​)(Fn​−F0​)2​dF0​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability distribution Cumulative distribution function Empirical distribution function
2026-10-14  0 By others on same topic  0 Discussions Create my own version
The test rejects for large values of this tail-weighted empirical discrepancy. For a specified continuous null, its standard limiting statistic is ∫01​B0(u)2/[u(1−u)]du, using a Brownian bridge. The reciprocal variance weight gives tail deviations more influence than the Cramér–von Mises criterion. If null parameters are estimated, fitting must be included when computing or simulating its reference law.

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  • Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 42 / 6 / vii / Solution

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