Table 1 KCCA null simulation results for various trimming values ω, which includes the P-value for the Kolmogorov-Smirnov test for normality (KS), the empirical SD and mean of the simulated test statistic distribution, as well as the realized Type-I error rate rejecting at an α-level of 0.05
N C =N D =500 | N C =N D =1000 | N C =N D =1500 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ω | KS | SD | Mean | Type I | KS | SD | Mean | Type I | KS | SD | Mean | Type I |
0.00 | <0.001 | 0.633 | 0.002 | 0.001 | <0.001 | 0.643 | 0.001 | 0.003 | <0.001 | 0.757 | 0.002 | 0.006 |
0.05 | <0.001 | 0.798 | −0.001 | 0.012 | <0.001 | 0.801 | −0.001 | 0.016 | <0.001 | 0.938 | −0.001 | 0.021 |
0.10 | <0.001 | 0.904 | −0.003 | 0.033 | <0.001 | 0.902 | −0.002 | 0.027 | 0.010 | 1.038 | 0.002 | 0.036 |
0.15 | 0.281 | 1.007 | −0.003 | 0.540 | 0.810 | 1.008 | −0.004 | 0.046 | 0.538 | 1.144 | 0.004 | 0.054 |
0.20 | 0.002 | 1.107 | −0.001 | 0.081 | 0.002 | 1.114 | −0.005 | 0.072 | 0.001 | 1.250 | 0.005 | 0.078 |
0.25 | <0.001 | 1.201 | −0.001 | 0.107 | <0.001 | 1.220 | −0.005 | 0.095 | <0.001 | 1.363 | 0.004 | 0.110 |