Khmaladze Martingale Transformation Goodness-of-Fit Test
Description
Consider a goodness-of-fit (GOF) problem of
testing whether a random sample comes from one
sample location-scale model where location and
scale parameters are unknown. It is well known
that Khmaladze martingale transformation method
proposed by Khmaladze (1981)
provides asymptotic distribution free test for the GOF problem.
This package provides test statistic and critical
value of GOF test for normal, Cauchy, and logistic
distributions. This package used the main algorithm
proposed by Kim (2020)
and tests for other distributions will be available
at the later version.