A New Goodness-of-Fit Test for a Distribution by the Empirical Characteristic Function

A Goodness-of-fit Test for the Distribution Tail

In order to check that a parametric model provides acceptable tail approximations, we present a test which compares the parametric estimate of an extreme upper quantile with its semiparametric estimate obtained by extreme value theory. To build this test, the sampling variations of these estimates are approximated through parametric bootstrap. Numerical Monte Carlo simulations explore the cover...

EMPIRICAL CHARACTERISTIC FUNCTION APPROACH TO GOODNESS-OF-FIT TESTS FOR THE CAUCHY DISTRIBUTION WITH PARAMETERS ESTIMATED BY MLE OR ElSE

We consider goodness-of-fit tests of the Cauchy distribution based on weighted integrals of the squared distance between the empirical characteristic function of the standardized data and the characteristic function of the standard Cauchy distribution. For standardization of data Ciirtler and Henze (2000, Annals of the Institute of Statistical Mathematics, 52, 267-286) used the median and the i...

Empirical Characteristic Function Approach to Goodness-of-Fit Tests for the Cauchy Distribution with Parameters Estimated by MLE or EISE

We consider goodness-of-fit tests of Cauchy distribution based on weighted integrals of the squared distance of the difference between the empirical characteristic function of the standardized data and the characteristic function of the standard Cauchy distribution. For standardization of data Gürtler and Henze (2000) used the median and the interquartile range. In this paper we use maximum lik...

A Goodness of Fit Test For Exponentiality Based on Lin-Wong Information

In this paper, we introduce a goodness of fit test for expo- nentiality based on Lin-Wong divergence measure. In order to estimate the divergence, we use a method similar to Vasicek’s method for estimat- ing the Shannon entropy. The critical values and the powers of the test are computed by Monte Carlo simulation. It is shown that the proposed test are competitive with other tests of exponentia...

Empirical Characteristic Function Approach to Goodness of Fit Tests for the Logistic Distribution under SRS and RSS

Goodness-of-Fit Tests for Symmetric Stable Distributions – Empirical Characteristic Function Approach

We consider goodness-of-fit tests of symmetric stable distributions based on weighted integrals of the squared distance between the empirical characteristic function of the standardized data and the characteristic function of the standard symmetric stable distribution with the characteristic exponent α estimated from the data. We treat α as an unknown parameter, but for theoretical simplicity w...