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GoodnessofFit

GoodnessofFittestsforStatisticalDistributions

Ofthemanyquantitativegoodnessoffittechniques(e.g.:Komolgorov
Smirnov,AndersonDarling,ShipiroWilk,vonMises),IprefertheAnderson
Darlingtestbecauseitismoresensitivetodeviationsinthetailsofthedistribution
thanistheolderKomolgorovSmirnovtest.
Note:TheAndersonDarlingtest(orKomolgorovSmirnovorShipiroWilk)does
nottellyouthatyoudohaveaNormaldensity.Itonlytellsyouwhenthedatamake
itunlikelythatyoudonot.(1)
AndersonDarlingcanbeappliedtoanydistribution,butfindingtablesofcritical
valuesisn'tsoeasy.Includedherearetwoofthemostusefultables,forthenormal
andlognormal,andfortheWeibull,exponential,andGumbel.
Forthenormalandlognormaldistributions,theteststatistic,A2iscalculated
from

wherenisthesamplesize,andwisthestandardnormalcdf,F[(xm)/s].
Thisformulaneedstobemodifiedforsmallsamples,

andthencomparedtoanappropriatecriticalvaluefromthetablebelow.
a

0.1

0.05

0.025

0.01

A2crit

0.631

0.752

0.873

1.035

(Reference:D'AgostinoandStephens,GoodnessOfFitTechniques,MarcelDekker,NewYork,1986,Table4.7,p.123.Allof
Chapter4,pp.97193,dealswithgoodnessoffittestsbasedonempiricaldistributionfunction(EDF)statistics.)

TheotherpopularfamilyofdistributionsincludestheWeibullfordistributionsof
minima,andGumbelfordistributionsofmaxima.TheGumbelvariableX,and
WeibullvariableYarerelatedbyX=ln(1/Y).AWeibulldistributionwiththeshape
parameterequaltooneproducestheexponentialdistributionasaspecialcase.
FortheWeibull(2)(andGumbel)distributions,theteststatistic,A2isagain
calculatedfrom
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GoodnessofFit

justasforthenormal,butwisthecdfforthedistributionunderconsideration.For
theWeibullthisis

andh,b,arethemodelscaleandshapeparameters.
Thisformulaneedstobemodifiedforsmallsamples,

andthencomparedtoanappropriatecriticalvaluefromthetablebelow.
a

0.1

0.05

0.025

0.01

A2crit

0.637

0.757

0.877

1.038

(Ref:D'AgostinoandStephens,1986,Table4.17,p.146)

_____________
Notes:
1.TheAndersonDarlingtest,doesnottellyouthatyouhaveaNormaldensity.
Itonlytellsyouwhenthedatamakeitunlikelythatyoudonot.Engineers(and
I'mone)hatethiskindofstatisticaldoubletalk.Butthefactremains:Any
frequentisttestisconstructedtodisprovesomething.Justasadrysidewalk
isevidencethatitdidn'train,awetsidewalkmightbecausedbyrainorbythe
sprinklersystem.Soawetsidewalkcan'tprovethatitrained,whileanotwet
oneisevidencethatitdidnotrain.
2.AlthoughtheWeibull,adistributionof"weakestlink"minima,ismorewidely
known,itmaynotalwaysbethebestchoice,asitssister,theGumbel,the
asymptoticdistributionofmaxima.
3.UsefulastheAndersonDarlingtestis,goodengineeringpracticerequiresuse
oftheIntraOcularTraumaTesttoconfirmgoodnessoffit,andother
preliminaryfindings.
4.R2isacommoncriterionforgoodnessoffitforregressionmodelsbutitisn't
verygood.
(returntotop)

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