A new characterization of the Gamma distribution and associated goodness-of-fit tests

DOI10.1007/S00184-019-00708-7zbMATH Open1432.62028arXiv1806.06028OpenAlexW3102306777MaRDI QIDQ138399FDOQ138399

Authors: Steffen Betsch, Bruno Ebner, Steffen Betsch, Bruno Ebner 

Publication date: 29 January 2019

Published in: Metrika (Search for Journal in Brave)

Abstract: We propose a class of weighted $L_2$-type tests of fit to the Gamma distribution. Our novel procedure is based on a fixed point property of a new transformation connected to a Steinian characterization of the family of Gamma distributions. We derive the weak limits of the statistic under the null hypothesis and under contiguous alternatives. Further, we establish the global consistency of the tests and apply a parametric bootstrap technique in a Monte Carlo simulation study to show the competitiveness to existing procedures.

Full work available at URL: https://arxiv.org/abs/1806.06028

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zbMATH Keywords

gamma distributiongoodness-of-fit testsbootstrap procedurecontiguous alternativesdensity approachStein's method

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

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Cited In (20)

• A gamma goodness-of-fit test based on characteristic independence of the mean and coefficient of variation
• Stein's identities and the related topics: an instructive explanation on shrinkage, characterization, normal approximation and goodness-of-fit
• Goodness-of-fit tests for the gamma distribution based on the empirical Laplace transform
• Minimum L^q‐distance estimators for non‐normalized parametric models
• On testing the log-gamma distribution hypothesis by bootstrap
• A variance ratio test of fit for Gamma distributions
• Smooth tests for the gamma distribution
• Goodness-of-fit test for count distributions with finite second moment
• Rejoinder on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
• Cumulant plots for assessing the gamma distribution
• A new omnibus test of fit based on a characterization of the uniform distribution
• Fixed point characterizations of continuous univariate probability distributions and their applications
• Stein's method meets computational statistics: a review of some recent developments
• gofgamma
• Testing the Fit of Gamma Distributions Using the Empirical Moment Generating Function
• Characteristic function and Laplace transform-based tests for exponentiality in the presence of random right censoring
• The biased transformation and its application in goodness-of-fit tests for the beta and gamma distribution
• Goodness of fit tests and power comparisons for weighted gamma distribution
• New classes of tests for the Weibull distribution using Stein's method in the presence of random right censoring
• Goodness-of-fit tests for the Weibull distribution based on the Laplace transform and Stein's method

Uses Software

• R

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