A goodness-of-fit test for generalized error distribution

DOI10.1080/03610926.2016.1271426MaRDI QIDQ4605232zbMATH OpenOpenAlexFDO

Authors 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

kurtosisskewnessgoodness-of-fitQ-Q plotgeneralized error distribution

Mathematics Subject Classification ID

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

Recommendations

• Goodness-of-fit tests for the error distribution in nonparametric regression
• Goodness-of-fit testing of error distribution in linear measurement error models
• Goodness-of-fit tests in parametric regression based on the estimation of the error distribution
• Goodness-of-fit tests for the Gompertz distribution
• Generalised smooth tests of goodness of fit
• Testing goodness of fit for the distribution of errors in multivariate linear models
• Algorithm AS 248: Empirical Distribution Function Goodness-of-Fit Tests
• Goodness of fit test for the generalized Rayleigh distribution with unknown parameters

Cites work

• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 52652 (Why is no real title available?)
• A Test of Goodness of Fit
• A method to estimate power parameter in exponential power distribution via polynomial regression
• An analysis of variance test for normality (complete samples)
• Conditional Heteroskedasticity in Asset Returns: A New Approach

Cited in

(2)

• scientific article; zbMATH DE number 3984369 (Why is no real title available?)
• Market price of risk estimation: Does distribution matter?

Describes a project that uses

Uses Software

• R
• AnDarl
• AS 177

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