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

DOI10.1007/s11749-007-0045-yzbMath1367.60014arXivmath/0602346OpenAlexW2083450612MaRDI QIDQ1019484

Muneya Matsui, Akimichi Takemura

Publication date: 2 June 2009

Published in: Test (Search for Journal in Brave)

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

zbMATH Keywords

integral equationsgoodness-of-fit testsmaximum likelihood estimatorstable distributions

Mathematics Subject Classification ID

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

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Uses Software

• STABLE
• GSL

Cites Work

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• Consistent tests for symmetric stability with finite mean based on the empirical characteristic function
• Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE
• Consistency of some tests for multivariate normality
• A new approach to the BHEP tests for multivariate normality
• Goodness-of-fit tests for the Cauchy distribution based on the empirical characteristic function
• Testing for normality in arbitrary dimension
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Kernel-transformed empirical processes
• Weak convergence of the sample distribution function when parameters are estimated
• The estimation of the parameters of the stable laws
• Numerical calculation of stable densities and distribution functions
• Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
• On weighting the studentized empirical characteristic function for testing normality
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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