I think you could use a normalization of the
Bhattacharya-Matusita-Hellinger measure of distance, "Srho",
developed in Granger, Maasoumi and Racine (forthcoming) " A Dependence
Metric for Possibly Nonlinear
Time Series," Journal of Time Series Analysis. This distance measure, I
think, will answer both of your questions.
However, I have only written the codes in R that are still under testing
since I am not aware that there is
any ado file capable of doing numerical integration.
Best,
Le
----- Original Message -----
From: "Nassar" <[email protected]>
To: "Stata-L (E-mail)" <[email protected]>
Sent: Tuesday, November 02, 2004 8:37 AM
Subject: st: Equality of distributions
> Hi all,
>
> I have two distributions (observed) and several theoretical (built upon
> simulations), each is resumed into its own varaible (no expression)
> I'm looking for tests in order to establish whether
> - Reject/accept whether one theoretical distribution can describe the
> observed data..
> - Given degrees of freedom, which one describe "best" the observed data ?
> References, commands in Stata are highly welcome..
>
> Observed data are nominal, other are continuous
>
> Best regards
> Naji Nassar
>
>
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