My problem is related to statistical testing with weighted data. I have a data sample and I assume that a part of the data follows a specific distribution (Pareto). So I fit my data to a distribution by using
EstimatedDistribution and in turn I obtain a p-value related to this fit according to different statistical tests (Cramer-Von Mises, Kolmogorov-Smirnov and possibly others).
Everything goes well as long as I do not include weights (I really know it works, since I have replicated my results in another software package...).
When including weights by using the function
WeightedData I run into problems.
EstimatedDistribution still works well on
WeightedData (again results are replicated in another package), but the
DistributionFitTest does not work any longer.
When trying to apply
WeightedData I get an error message of the following form:
"rctnln: The argument [my weighted data object] at position 1 should be a rectangular array of real numbers with length greater than the dimension of the array."
I got the intuition behind these error message and intensely searched for an appropriate work-around or alternative Function, but could not find any suitable tools.
Could anybody help me out on this?