The Asymptotic Relative Efficiency of Goodness-Of-Fit Tests against Scalar Alternatives

This paper deals with the asymptotic relative efficiency (A.R.E.) and the asymptotic power of certain tests. These tests are distribution-free goodness-of-fit tests based on the empirical distribution function. They are the one and two sided Kolmogorov-Smirnov tests and a new one based on the absolute values of the order statistics. The method of obtaining the A.R.E. is due to Quade [5] and is outlined in Section 1. In this paper we are concerned with the case of scalar alternatives. The asymptotic power for the Kolmogorov-Smirnov tests is obtained in Section 2. Section 3 deals with a new test which allows a more facile use of a one-sided statistic while utilizing the same information normally included in a two-sided statistic. In Section 4, three examples are considered to illustrate the superiority of this new test.