Random Weighting Empirical Distribution Function and its Applications to Goodness-of-Fit Testing
Daojiang He, Kai Xu, Xingzhong Xu · Communications in Statistics - Simulation and Computation · 2014
In this article, a randomized estimator of the empirical distribution function (EDF) called random weighting empirical distribution function (RWEDF) is introduced, one special case of which is just equivalent to the Bayesian bootstrap. The consistency of the RWEDF is established under certain conditions. By substituting this new EDF for the classical EDF, we obtain new versions of some EDF test statistics for goodness-of-fit. The simulation results show that the new tests are more powerful than the corresponding tests based on the classical EDF under some cases.