- Cramér–von Mises criterion
In statistics the Cramér–von Mises criterion is a criterion used for judging the goodness of fit of a cumulative distribution function F * compared to a given empirical distribution function Fn, or for comparing two empirical distributions. It is also used as a part of other algorithms, such as minimum distance estimation. It is defined as
In one-sample applications F * is the theoretical distribution and Fn is the empirically observed distribution. Alternatively the two distributions can both be empirically estimated ones; this is called the two-sample case.
The criterion is named after Harald Cramér and Richard Edler von Mises who first proposed it in 1928-1930. The generalization to two samples is due to Anderson.
The Cramér–von Mises test is an alternative to the Kolmogorov-Smirnov test.
Cramér–von Mises test (one sample)
Let be the observed values, in increasing order. Then the statistic is:1153
If this value is larger than the tabulated value the hypothesis that the data come from the distribution F can be rejected.
A modified version of the Cramér–von Mises test is the Watson test which uses the statistic U2, where
Cramér–von Mises test (two samples)
Let and be the observed values in the first and second sample respectively, in increasing order. Let be the ranks of the x's in the combined sample, and let be the ranks of the y's in the combined sample. Anderson:1149 shows that
where U is defined as
If the value of T is larger than the tabulated values,:1154–1159 the hypothesis that the two samples come from the same distribution can be rejected. (Some books[specify] give critical values for U, which is more convenient, as it avoids the need to compute T via the expression above. The conclusion will be the same).
The above assumes there are no duplicates in the x, y, and r sequences. So xi is unique, and its rank is i in the sorted list x1,...xN. If there are duplicates, and xi through xj are a run of identical values in the sorted list, then one common approach is the midrank  method: assign each duplicate a "rank" of (i + j) / 2. In the above equations, in the expressions (ri − i)2 and (sj − j)2, duplicates can modify all four variables ri, i, sj, and j.
- Anderson, TW (1962). "On the Distribution of the Two-Sample Cramer–von Mises Criterion" (PDF). The Annals of Mathematical Statistics (Institute of Mathematical Statistics) 33 (3): 1148–1159. doi:10.1214/aoms/1177704477. ISSN 0003-4851. http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?view=body&id=pdf_1&handle=euclid.aoms/1177704477. Retrieved June 12, 2009.
- M. A. Stephens (1986). "Tests Based on EDF Statistics". In D'Agostino, R.B. and Stephens, M.A.. Goodness-of-Fit Techniques. New York: Marcel Dekker. ISBN 0-8247-7487-6.
- Pearson, E.S., Hartley, H.O. (1972) Biometrika Tables for Statisticians, Volume 2, CUP. ISBN 0521069378 (page 118 and Table 54)
- Ruymgaart, F. H., (1980) "A unified approach to the asymptotic distribution theory of certain midrank statistics". In: Statistique non Parametrique Asymptotique, 1±18, J. P. Raoult (Ed.), Lecture Notes on Mathematics, No. 821, Springer, Berlin.
- Watson, G.S. (1961) "Goodness-Of-Fit Tests on a Circle", Biometrika, 48 (1/2), 109-114 JSTOR 2333135
- Xiao, Y.; A. Gordon, A. Yakovlev (January 2007). "A C++ Program for the Cramér–von Mises Two-Sample Test" (PDF). Journal of Statistical Software (American Statistical Association) 17 (8). ISSN 1548-7660. OCLC 42456366. http://www.jstatsoft.org/v17/i08/paper. Retrieved June 12, 2009.
- C-vM Two Sample Test (Documentation for performing the test using R
- Table of Critical values for 1 sample CvM test
- Statistical tests
- Statistical distance measures
- Non-parametric statistics
- Normality tests
Wikimedia Foundation. 2010.