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Journal Article

A goodness-of-fit test based on a recursive product of spacings

MPS-Authors

Eller,  Philipp
Max Planck Institute for Physics, Max Planck Society and Cooperation Partners;

Shtembari,  Lolian
Max Planck Institute for Physics, Max Planck Society and Cooperation Partners;

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Citation

Eller, P., & Shtembari, L. (2023). A goodness-of-fit test based on a recursive product of spacings. Journal of Instrumentation, 18, P03048. doi:10.1088/1748-0221/18/03/P03048.


Cite as: https://hdl.handle.net/21.11116/0000-000F-11A6-2
Abstract
We introduce a new statistical test based on the observed spacings of ordered data. The statistic is sensitive to detect non-uniformity in random samples, or short-lived features in event time series. Under some conditions, this new test can outperform existing ones, such as the well known Kolmogorov-Smirnov or Anderson-Darling tests, in particular when the number of samples is small and differences occur over a small quantile of the null hypothesis distribution. A detailed description of the test statistic is provided including a detailed discussion of the parameterization of its distribution via asymptotic bootstrapping as well as a novel per-quantile error estimation of the empirical cumulative distribution. Two example applications are provided, using the test to boost the sensitivity in generic "bump hunting", and employing the test to detect supernovae. The article is rounded off with an extended performance comparison to other, established goodness-of-fit tests.