As with the original Kolmogorov-Smirnov test statistic,
these all have test statistic null distributions which
are independent of the hypothesized continuous models.
TheW2 statistic was the original test statistic. The
A2 statistic was developed by Anderson in the process
of generalizing the test for the two-sample case.
Watson’s U2 statistic was developed for distributions
which are cyclic (with an ordering to the support but
no natural starting point); it is invariant to cyclic reordering
of the support. For example, a distribution
on the months of the year could be considered cyclic.
It has been shown that these tests can be more
powerful than Kolmogorov-Smirnov tests to certain
deviations from the hypothesized distribution. They
all involve integration over the whole range of data,
rather than use of a supremum, so they are best-suited
for situations where the true alternative distribution
deviates a little over the whole support rather than
having large deviations over a small section of the
support. Stephens (1974) offers a comprehensive analysis
of the relative powers of these tests.
Generalizations of the Cramér-von Mises tests to
discrete distributions were developed in Choulakian
et al. (1994). As with the Kolmogorov-Smirnov test,
the forms of the test statistics are unchanged, and
the null distributions of the test statistics are again
hypothesis-dependent. Choulakian et al. (1994) does
not offer finite-sample results, but rather shows that
the asymptotic distributions of the test statistics under
the null hypothesis each involve consideration of
a weighted sum of independent chi-squared variables
(with the weights depending on the particular null
distribution).