A goodness-of-fit test for generalized error distribution

DOI10.1080/03610926.2016.1271426zbMath1384.62043OpenAlexW2740409709MaRDI QIDQ4605232

Daniele Coin

Publication date: 21 February 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1096/en_tema_1096.pdf

zbMATH Keywords

kurtosisgoodness-of-fitskewnessQ-Q plotgeneralized error distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

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Uses Software

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• AS 177

Cites Work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A method to estimate power parameter in exponential power distribution via polynomial regression
• An analysis of variance test for normality (complete samples)
• A Test of Goodness of Fit
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