Approximation of Kolmogorov–Smirnov test statistic

Long Bai; David Kalaj

doi:10.1080/17442508.2020.1844705

Approximation of Kolmogorov–Smirnov test statistic

Long Bai^*, David Kalaj

^*Corresponding author for this work

Department of Financial and Actuarial Mathematics

University of Montenegro

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

Motivated by the weak limit of Kolmogorov–Smirnov test statistics, in this contribution, we derive the asymptotics of (Formula presented.) for large u, where (Formula presented.) is the multivariate Brownian sheet based on a distribution function F. The asymptotic results are obtained for general F and some important examples are also shown.

Original language	English
Pages (from-to)	993-1027
Number of pages	35
Journal	Stochastics
Volume	93
Issue number	7
DOIs	https://doi.org/10.1080/17442508.2020.1844705
Publication status	Published - 2021

Keywords

Brownian sheet
Exact asymptotics
Gaussian fields
Kolmogorov–Smirnov test
Primary 60G15
Secondary 60G70

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10.1080/17442508.2020.1844705

Cite this

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abstract = "Motivated by the weak limit of Kolmogorov–Smirnov test statistics, in this contribution, we derive the asymptotics of (Formula presented.) for large u, where (Formula presented.) is the multivariate Brownian sheet based on a distribution function F. The asymptotic results are obtained for general F and some important examples are also shown.",

keywords = "Brownian sheet, Exact asymptotics, Gaussian fields, Kolmogorov–Smirnov test, Primary 60G15, Secondary 60G70",

author = "Long Bai and David Kalaj",

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AB - Motivated by the weak limit of Kolmogorov–Smirnov test statistics, in this contribution, we derive the asymptotics of (Formula presented.) for large u, where (Formula presented.) is the multivariate Brownian sheet based on a distribution function F. The asymptotic results are obtained for general F and some important examples are also shown.

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KW - Exact asymptotics

KW - Gaussian fields

KW - Kolmogorov–Smirnov test

KW - Primary 60G15

KW - Secondary 60G70

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DO - 10.1080/17442508.2020.1844705

M3 - Article

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VL - 93

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JO - Stochastics

JF - Stochastics

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ER -

Approximation of Kolmogorov–Smirnov test statistic

Abstract

Keywords

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