Saddlepoint Approximations to the Limiting Distribution of the Modified Anderson-Darling Test Statistic

摘要

The approximation for the distribution function of test statistic is extremely important in statistics. The standard and higher-order saddlepoint approximations are considered in tails of the limiting distribution for the modified Anderson-Darling test. The saddlepoint approximations are compared with the approximation of Sinclair et al. (1990) for upper tail area. An empirical function is derived to estimate the critical values of a saddlepoint approximation.