A k-sample homogeneity test: the Harmonic Weighted Mass index

Authors : Jeroen Hinloopen, Rien J. Lm. Wagenvoort, Charles Van Marrewijk

Pages : 17-39

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Publication Date : 2012-06-01

Article Type : Other

Abstract :We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that allows the index to be computed exactly under all circumstances. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.
Keywords : K-Sample EDF Test, P-P Plot, D-D Plot, Power.