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Comparing Distributions: The Harmonic Mass Index

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2005 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Charles van Marrewijk; Jeroen Hinloopen; Jeroen Hinloopen; Jeroen Hinloopen;

doi: 10.2139/ssrn.873831

handle: 10419/86330

Comparing Distributions: The Harmonic Mass Index

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Abstract

textabstractThe information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying the HM test in case of asymmetric samples.

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Utrecht University
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Keywords

robustness., ddc:330, Distribution, critical percentile values, PP-plot, Distribution; PP-plot; test statistic; critical percentile values; robustness., C14, test statistic, C12, jel: jel:C12, jel: jel:C14

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