Nonparametric testing of distributions - The Epps-Singleton two-sample test using the empirical characteristic function

Sebastian J. Goerg, Johannes Kaiser

Research output: Contribution to journalArticlepeer-review

54 Scopus citations

Abstract

In statistics, two-sample tests are used to determine whether two samples have been drawn from the same population. An example of such a test is the widely used Kolmogorov-Smirnov two-sample test. There are other distributionfree tests that might be applied in similar occasions. In this article, we describe a two-sample omnibus test introduced by Epps and Singleton, which usually has a greater power than the Kolmogorov-Smirnov test although it is distribution free. The superiority of the Epps-Singleton characteristic function test is illustrated in two examples. We compare the two tests and supplement this contribution with a Stata implementation of the omnibus test.

Original languageEnglish
Pages (from-to)454-465
Number of pages12
JournalStata Journal
Volume9
Issue number3
DOIs
StatePublished - 2009

Keywords

  • Eppssingleton
  • Escftest
  • Kolomogorov-smirnov
  • Nonparametric tests
  • St0174
  • Two-sample case

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