Weighted Kolmogorov-Smirnov test: accounting for the tails

Phys Rev E Stat Nonlin Soft Matter Phys. 2012 Oct;86(4 Pt 1):041115. doi: 10.1103/PhysRevE.86.041115. Epub 2012 Oct 10.

Abstract

Accurate goodness-of-fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance, and finance. We have derived exact asymptotic results for a generalization of the large-sample Kolmogorov-Smirnov test, well suited to testing these extreme tails. In passing, we have rederived and made more precise the approximate limit solutions found originally in unrelated fields, first in [L. Turban, J. Phys. A 25, 127 (1992)] and later in [P. L. Krapivsky and S. Redner, Am. J. Phys. 64, 546 (1996)].

MeSH terms

  • Algorithms
  • Biophysics / methods*
  • Body Weight
  • Financial Management
  • Geology
  • Humans
  • Models, Statistical
  • Normal Distribution
  • Physics / methods
  • Probability
  • Research Design
  • Statistics, Nonparametric*