Consistent tests for symmetric stability with finite mean based on the empirical characteristic function

DOI10.1016/J.JSPI.2003.12.009zbMATH Open1087.62059OpenAlexW2012208359MaRDI QIDQ707048FDOQ707048

Authors: D. Kharzeev 

Publication date: 9 February 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2003.12.009

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zbMATH Keywords

Stable distributionGoodness-of-fit testSymmetric distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Testing for stability based on the empirical characteristic funstion with applications to financial data
• A test for normality based on the empirical characteristic function
• Statistical methods in finance
• Estimation in Univariate and Multivariate Stable Distributions
• Bayesian Inference for Stable Distributions
• Goodness-of-fit tests for the Cauchy distribution based on the empirical characteristic function
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Monte Carlo inference in econometric models with symmetric stable disturbances
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• A TEST OF GOODNESS OF FIT FOR SYMMETRIC RANDOM VARIABLES¹
• A test for normality based on the empirical characteristic function
• Applications of the empirical characteristic function to estimation and detection problems
• Goodness-of-fit test for Cauchy distribution derived from the empirical characteristic function
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• Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange

Cited In (9)

• Title not available (Why is that?)
• Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
• Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
• Bootstrap goodness-of-fit tests with estimated parameters based on empirical transforms
• Fourier methods for model selection
• Weighted similarity tests for location-scale families of stable 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
• A characterization and a class of omnibus tests for the exponential distribution based on the empirical characteristic function

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