Goodness-of-Fit Test: Khmaladze Transformation vs Empirical Likelihood

Abstract

This paper compares two asymptotic distribution free methods for goodness-of-fit test of one sample of location-scale family: Khmaladze transformation and empirical likelihood methods. The comparison is made from the perspective of empirical level and power obtained from simulations. When testing for normal and logistic null distributions, we try various alternative distributions and find that Khmaladze transformation method has better power in most cases. R-package which was used for the simulation is available online. See section 5 for the detail