I have some data and wish to fit several distributions to it, many of which are compound and/or complex. I'd like to know whether a given family of distributions is appropriate which I can apparently do via Anderson-Darling.
Essentially the same test statistic can be used in the test of fit of a family of distributions, but then it must be compared against the critical values appropriate to that family of theoretical distributions and dependent also on the method used for parameter estimation.
How do I do this for distributions other than normal (the worked example)? Directions to a paper or book are very much appreciated if this is common knowledge but I'm struggling to find it.