On Goodness of Fit for Operational Risk

DOI10.1111/INSR.12112MaRDI QIDQ6086480zbMATH OpenFDO

Authors Andrey Feuerverger

Publication date 10 November 2023

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/INSR.12112

zbMATH Keywords

Anderson-Darling upper-tail testcovariance kerneleigenvaluesgoodness of fitheavy tailsinfluence functionjackknifeoperational riskorder statisticssaddlepoint approximation

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Approximations of the cumulative distribution function for infinite weighted sum of random variables
• On modified Anderson-Darling test statistics with asymptotic properties
• Modified two-sample Anderson-Darling test statistic
• Multisample version of the modified Anderson-Darling statistic

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