Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Institute - 2005
distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …