New tests based on Rubinʹs empirical distribution function

In this paper we derive some new tests for goodness-of-fit based on Rubinʹs empirical distribution function (EDF). Substituting Rubinʹs EDF for the classical EDF in the Kolmogorov–Smirnov, Cramér–von Mises, Anderson–Darling statistics, since Rubinʹs EDF for a given sample is a randomized distribution function, randomized statistics are derived, of which the qth quantile and the expectation are chosen as test statistics. We show that the new tests are consistent under simple hypothesis. Several power comparisons are also performed to show that the new tests are generally more powerful than the classical ones.