GofKmt: Khmaladze Martingale Transformation Goodness-of-Fit Test (original) (raw)

Consider a goodness-of-fit (GOF) problem of testing whether a random sample comes from one sample location-scale model where location and scale parameters are unknown. It is well known that Khmaladze martingale transformation method - which was proposed by Khmaladze (1981) <doi:10.1137/1126027> - provides asymptotic distribution free test for the GOF problem. This package contains one function: KhmaladzeTrans(). In this version, KhmaladzeTrans() provides test statistic and critical value of GOF test for normal, Cauchy, and logistic distributions. This package used the main algorithm proposed by Kim (2020) <doi:10.1007/s00180-020-00971-7> and tests for other distributions will be available at the later version.

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