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Topic: Kolmogorov–Smirnov / Lilliefors test, small sample

Replies: 5   Last Post: Aug 11, 2013 5:23 PM

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Luis A. Afonso

Posts: 4,758
From: LIsbon (Portugal)
Registered: 2/16/05
Re: Kolmogorov–Smirnov / Lilliefors test, small sample s
Posted: Aug 11, 2013 5:23 PM
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Unfortunately lack of rigor leads to a complete kaos
in literature about the test statistics.
Lilliefors Test has a formulation only: The maximum of the differences (along all n sample points):
_____dj = Max |j/n, Phi(z)|, |(j-1)/n, Phi(z-)|
where z is the *step´s* end abcisse and z- the step,s beggining ( j=1, 2, ... , n)


The shortcuts text´s show are the main cause of so much misunderstanding. The above definition is the only way (I had checked) to attain rigorously the critical values of the test statistics Literature shows. Furthermore is unequivocal.

Luis A. Afonso

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