Goodness of fit measures – Anderson-Darling (adjusted) statistics for Regression with Life Data

The Anderson-Darling (adjusted) statistics are goodness-of-fit measures associated with the probability plots for standardized and Cox-Snell residuals. Anderson-Darling (adjusted) statistics measure the area between the fitted line (based on the chosen model) and the nonparametric step function (based on the plot points). Precisely, the Anderson-Darling (adjusted) statistic is a squared distance that is weighted heavier in the tails of the distribution.

Generally, substantially smaller Anderson-Darling (adjusted) values indicate a better fit. However, when evaluating the model fit, you should always consider the visual results on the probability plots.

Example output

Anderson-Darling (adjusted) Goodness-of-Fit Standardized Residuals = 26.470 Cox-Snell Residuals = 26.470

Interpretation

For the compressor data, Anderson-Darling (adjusted) values are shown for the standardized residuals and Cox-Snell residuals. To better assess the model fit, examine the probability plot.

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