I'm using EasyFit to fit distributions to a sample of data and test with the Kolmogorov-Smirnov test whether the null hypothesis may be rejected or not. But as this test estimates the parameters from the distribution, the results will be conservative and the Lilliefors test should be used [1].

Lilliefors critical values for normal distributions can be found, but I'm using distributions as Weibull (2/3 param), Extreme value, Exponential, Log normal etc.

Is there any way I can adapt the KS to the Lilliefors test for those distributions? My guess would be just to compare to the Lilliefors critical values of each distribution, but I haven't found any of them.

Does anyone know where I can find these tabulated values or can help me with a workaround?



There are tabulated values only for normal, exponential and Gumbel distributions (as far as I know). But the p-value can be estimated via simulations - see post How can one compute Lilliefors' test for arbitrary distributions?

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