Re: Goodness of fit measures for a distribution

Reef Fish wrote: 
Chi-square is based on histograms -- it's worthless.

Kolmogorov uses on ONE POINT in the difference between the empirical
and theoretical cdfs, the point of maximum departure.

Your EYEBALLS can do an infinitely better job than that, looking at
the plot of the entire cdfs.

In principle yes. But what do you do when you have a few dozen or hundred variables in a complex data mining task? Then you do want a one-number summary: you have no time to manually inspect a few hundred thousand QQ plots.

You can use the p-value or some VaR quantification as a summary of the tail, use it order the fits, and let the eyes inspect the deviant ones first.

--
mag. Aleks Jakulin
http://kt.ijs.si/aleks/
Department of Knowledge Technologies,
Jozef Stefan Institute, Ljubljana, Slovenia.
.