Cramér–von Mises criterion
In statistics the Cramér–von Mises criterion is a criterion used for judging the goodness of fit of a cumulative distribution function compared to a given empirical distribution function , or for comparing two empirical distributions. It is also used as a part of other algorithms, such as minimum distance estimation. It is defined as
In one-sample applications is the theoretical distribution and is the empirically observed distribution. Alternatively the two distributions can both be empirically estimated ones; this is called the two-sample case.
The Cramér–von Mises test is an alternative to the Kolmogorov–Smirnov test.
Cramér–von Mises test (one sample)
If this value is larger than the tabulated value, then the hypothesis that the data come from the distribution can be rejected.
Cramér–von Mises test (two samples)
Let and be the observed values in the first and second sample respectively, in increasing order. Let be the ranks of the x's in the combined sample, and let be the ranks of the y's in the combined sample. Anderson:1149 shows that
where U is defined as
If the value of T is larger than the tabulated values,:1154–1159 the hypothesis that the two samples come from the same distribution can be rejected. (Some books[specify] give critical values for U, which is more convenient, as it avoids the need to compute T via the expression above. The conclusion will be the same).
The above assumes there are no duplicates in the , , and sequences. So is unique, and its rank is in the sorted list . If there are duplicates, and through are a run of identical values in the sorted list, then one common approach is the midrank method: assign each duplicate a "rank" of . In the above equations, in the expressions and , duplicates can modify all four variables , , , and .
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- von Mises, R. E. (1928). Wahrscheinlichkeit, Statistik und Wahrheit. Julius Springer.
- Anderson, T. W. (1962). "On the Distribution of the Two-Sample Cramer–von Mises Criterion" (PDF). Annals of Mathematical Statistics. Institute of Mathematical Statistics. 33 (3): 1148–1159. doi:10.1214/aoms/1177704477. ISSN 0003-4851. Retrieved June 12, 2009.
- Pearson, E.S., Hartley, H.O. (1972) Biometrika Tables for Statisticians, Volume 2, CUP. ISBN 0-521-06937-8 (page 118 and Table 54)
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- Ruymgaart, F. H., (1980) "A unified approach to the asymptotic distribution theory of certain midrank statistics". In: Statistique non Parametrique Asymptotique, 1±18, J. P. Raoult (Ed.), Lecture Notes on Mathematics, No. 821, Springer, Berlin.
- M. A. Stephens (1986). "Tests Based on EDF Statistics". In D'Agostino, R.B.; Stephens, M.A. Goodness-of-Fit Techniques. New York: Marcel Dekker. ISBN 0-8247-7487-6.
- Xiao, Y.; A. Gordon; A. Yakovlev (January 2007). "A C++ Program for the Cramér–von Mises Two-Sample Test" (PDF). Journal of Statistical Software. American Statistical Association. 17 (8). ISSN 1548-7660. OCLC 42456366. Retrieved June 12, 2009.