ON GOODNESS-OF-FIT TESTS BASED ON EMPIRICAL CHARACTERISTIC FUNCTION

Abstract

In this chapter, the power of the ECF test of Towhidi and Salmanpour (2007) was compared with the power of the classical EDF tests. From this power comparison, it can be concluded that there is no one test that is optimal for all of the cases. It was shown that the most powerful test depends on the sample size, the alternative distribution, the significance level and the value of the shape parameter of the null distribution. Also, it is concluded that the ECF test is the best when the sample size is small ( 11 =I 0) except when the alternative distribution is Weibull (a= 1.5) where the EDF tests are better.