Capital Fund Management

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  • Goodness-of-fit Tests With Dependent Observations

    White Papers // Jun 2011 // provided by Capital Fund Management

    The authors revisit the Kolmogorov-Smirnov and Cram?er-von Mises Goodness-of-Fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variables. They show that the dependence leads to a reduction of the "Effective" number of independent observations. The generalised GoF tests are not distribution-free but rather depend on ...

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