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arXiv · 1802.08883

Approximation of Kolmogorov-Smirnov Test Statistics

Long Bai·David Kalaj
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Abstract

Motivated by the weak limit of the Kolmogorov-Smirnov test statistics, in this contribution, we concern the asymptotics of \begin{align*} \mathbb{P}\left\{\sup_{\boldsymbol{x}\in [0,1]^n}\left(W(\boldsymbol{x})\Big| W(\boldsymbol{1})=w\right)>u\right\}, \ w\in\mathbb{R}, \end{align*} for large $u$ where $W(\boldsymbol{x})$ is the multivariate Brownian sheet based on a distribution function $F$. The results related to general $F$ are investigated and some important examples are also showed.

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Long Bai, David Kalaj. 2018-02-24. Approximation of Kolmogorov-Smirnov Test Statistics. https://arxiv.org/abs/1802.08883

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