adtest matlab,Anderson-Darling test

The Anderson-Darling test is commonly used

to test whether a data sample comes from a normal distribution. However,

it can be used to test for another hypothesized distribution, even

if you do not fully specify the distribution parameters. Instead,

the test estimates any unknown parameters from the data sample.

The test statistic belongs to the family of quadratic empirical

distribution function statistics, which measure the distance between

the hypothesized distribution, F(x)

and the empirical cdf, Fn(x)

as

n∫−∞∞(Fn(x)−F(x))w2(x)dF(x),

over the ordered sample values x1

is a weight function and n is the number of data

points in the sample.

The weight function for the Anderson-Darling test is

w(x)=[F(x)(1−F(x))]−1,

which places greater weight on the observations

in the tails of the distribution, thus making the test more sensitive

to outliers and better at detecting departure from normality in the

tails of the distribution.

The Anderson-Darling test statistic is

An2=−n−∑i=1n2i−1n[ln(F(Xi))+ln(1−F(Xn+1−i))],

where{X1<... are the ordered>

sample data points and n is the number of data

points in the sample.

In adtest, the decision to reject or not

reject the null hypothesis is based on comparing the p-value

for the hypothesis test with the specified significance level, not

on comparing the test statistic with the critical value.