A SADDLEPOINT APPROXIMATION TO THE DISTRIBUTION FUNCTION OF THE ANDERSON-DARLING TEST STATISTIC

David Giles
2001 Communications in statistics. Simulation and computation  
The Anderson-Darling goodness-of-fit test has a highly skewed and non-standard limit distribution. Various attempts have been made to tabulate the associated critical points, using both theoretical approximations and simulation methods. We show that a standard saddlepoint approximation performs well in both tails of the distribution. It is markedly superior to other theoretical approximations in the lower tail of the distribution.
doi:10.1081/sac-100107787 fatcat:eeghx4zbgjbfdmbufh6estjnku