On Thu, 28 Aug 2003, Prof Brian Ripley wrote: > You appear to be applying the KS test after estimating parameters. The > distribution theory is for an iid sample from a known continuous > distribution (and does not otherwise depend on the distribution). Since > your H_0 is not pre-specified, that distribution theory is not correct. > (Some corrections have been worked out for say ML fitting of exponential > and normal distributions -- by Michael Stephens as I recall.)
Just to amplify this comment a bit, I'm a little worried that the current documentation of of ks.test may make it appear that estimated parameters are ok, or that somehow the p-values computed are "corrected" in some way for their existence -- which I very much doubt. The standard reference on this sort of thing was Durbin's (1973) SIAM monograph. There is a very nice approach due to Khmaladze (1981) based on the Doob-Meyer decomposition - this is the closest thing that I'm aware of for handling KS type tests with estimated parameters in a general context. url: www.econ.uiuc.edu/~roger/my.html Roger Koenker email [EMAIL PROTECTED] Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820 ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help