- On the exact finite sample distribution of the L1-FCvM test statistic
- Communications in Statistics: Simulation and Computation
- Volume | Issue number
- 43 | 6
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
We derive the exact finite sample distribution of the L1 -version of the Fisz-Cramér-von Mises test statistic (FCvM 1). We first characterize the set of all distinct sample p-p plots for two balanced samples of size n absent ties. Next, we order this set according to the corresponding value of FCvM 1. Finally, we link these values to the probabilities that the underlying p-p plots emerge. Comparing the finite sample distribution with the (known) limiting distribution shows that the latter can always be used for hypothesis testing: although for finite samples the critical percentiles of the limiting distribution differ from the exact values, this will not lead to differences in the rejection of the underlying hypothesis.
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