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.