Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach

DOI10.1007/S11749-007-0045-YzbMATH Open1367.60014arXivmath/0602346OpenAlexW2083450612MaRDI QIDQ1019484FDOQ1019484

Authors: Muneya Matsui, Akimichi Takemura 

Publication date: 2 June 2009

Published in: Test (Search for Journal in Brave)

Abstract: 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 $alpha$ estimated from the data. We treat $alpha$ as an unknown parameter, but for theoretical simplicity we also consider the case that $alpha$ is fixed. For estimation of parameters and the standardization of data we use maximum likelihood estimator (MLE) and an equivariant integrated squared error estimator (EISE) which minimizes the weighted integral. We derive the asymptotic covariance function of the characteristic function process with parameters estimated by MLE and EISE. For the case of MLE, the eigenvalues of the covariance function are numerically evaluated and asymptotic distribution of the test statistic is obtained using complex integration. Simulation studies show that the asymptotic distribution of the test statistics is very accurate. We also present a formula of the asymptotic covariance function of the characteristic function process with parameters estimated by an efficient estimator for general distributions.

Full work available at URL: https://arxiv.org/abs/math/0602346

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zbMATH Keywords

goodness-of-fit testsmaximum likelihood estimatorstable distributionsintegral equations

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)

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Cited In (30)

• The probability weighted characteristic function and goodness-of-fit testing
• Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE
• Title not available (Why is that?)
• Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
• Fast goodness-of-fit tests based on the characteristic function
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Consistent tests for symmetric stability with finite mean based on the empirical characteristic function
• A class of goodness-of-fit tests based on transformation
• On estimation and testing goodness of fit for \(m\)-dependent stable sequences
• Specification tests for the error distribution in GARCH models
• Approximating a class of goodness-of-fit test statistics
• On the empirical characteristic function process of the residuals in GARCH models and applications
• Tests of fit for normal inverse Gaussian distributions
• Integral transform methods in goodness-of-fit testing. I: The gamma distributions
• Goodness-of-fit tests and minimum distance estimation via optimal transformation to uniform\-ity
• Testing for serial independence in vector autoregressive models
• Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
• Bivariate sub-Gaussian model for stock index returns
• Some goodness-of-fit tests for the positive stable distributions
• Bootstrap goodness-of-fit tests with estimated parameters based on empirical transforms
• Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
• Fourier methods for model selection
• Weighted similarity tests for location-scale families of stable distributions
• Exact confidence sets and goodness-of-fit methods for stable distributions
• Testing for the symmetric component in skew distributions
• Comments on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
• Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function
• Characteristic function-based semiparametric inference for skew-symmetric models
• Title not available (Why is that?)
• An approximation to the null distribution of a class of Cramér-von Mises statistics

Uses Software

• STABLE
• GSL

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