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

Year 2012, Volume: 4 Issue: 1, 17 - 39, 01.04.2012

Jeroen Hinloopen Rien J.lm. Wagenvoort Charles Van Marrewijk

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.

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