Comparing distributions: the Harmonic Mass index
The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying the HM test in case of asymmetric samples.
|PP-plot, critical percentile values, distribution, robustness, test statistic|
|Hypothesis Testing (jel C12), Semiparametric and Nonparametric Methods (jel C14)|
|Tinbergen Institute Discussion Paper Series|
|Discussion paper / Tinbergen Institute|
Hinloopen, J, & van Marrewijk, J.G.M. (2005). Comparing distributions: the Harmonic Mass index. Discussion paper / Tinbergen Institute. Tinbergen Institute. Retrieved from http://hdl.handle.net/1765/12993