Assessing the Distribution Consistency of Sequential Data

Details Assessing the Distribution Consistency of Sequential Data Assessing the Distribution Consistency of Sequential Data

2009-06-04

arxiv.org/abs/0906.0989v1

Mathematics

Statistics Theory

20 pages, 0 figures

Scientific paper

Given n observations, we study the consistency of a batch of k new observations, in terms of their distribution function. We propose a non-parametric, non-likelihood test based on Edgeworth expansion of the distribution function. The keypoint is to approximate the distribution of the n+k observations by the distribution of n-k among the n observations. Edgeworth expansion gives the correcting term and the rate of convergence. We also study the discrete distribution case, for which Cram\`er's condition of smoothness is not satisfied. The rate of convergence for the various cases are compared.

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