KMT-type inequalities and goodness-of-fit tests |
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Authors: | A J Koning |
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Institution: | Econometric Institute, Erasmus University P.O. Box 1738, 3000 DR Rotterdam, The Netherlands |
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Abstract: | The implications of the probability inequality of Komløs, Major and Tusnády (1975) for the theory of goodness-of-fit tests, especially tests based on stochastic integrals with respect to the basic martingale in the random censoring model, are discussed. Choices of the integrand of the stochastic integral which yield highly efficient generalized rank and supremum type tests are given for the simple as well as the composite null hypothesis. |
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Keywords: | approximation deviations efficiencies |
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