The Anderson-Darling test of fit for the power-law distribution from left-censored samples

被引：10

作者：

Coronel-Brizio, H. F. ^{[1
]}

Hernandez-Montoya, A. R. ^{[1
]}

机构：

[1] Univ Veracruzana, Dept Inteligencia Artificial, Fac Fis & Inteligencia Artificial, Xalapa 91000, Veracruz, Mexico

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2010年 / 389卷 / 17期

关键词：

Power-law distribution; Complexity; Goodness of fit; EDF-based tests; Anderson-Darling; Asymptotic distributions; Type II censoring; Maximum likelihood estimation; STATISTICS;

D O I：

10.1016/j.physa.2010.03.041

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Maximum likelihood estimation and a test of fit based on the Anderson Darling statistic are presented for the case of the power-law distribution when the parameters are estimated from a left-censored sample. Expressions for the maximum likelihood estimators and tables of asymptotic percentage points for the A(2) statistic are given. The technique is illustrated for data from the Dow Jones Industrial Average index, an example of high theoretical and practical importance in Econophysics, Finance, Physics, Biology and, in general, in other related sciences such as Complexity Sciences. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：3508 / 3515

页数：8

共 50 条

[1] Research on K distribution in Anderson-Darling Goodness-of-fit Test
Feng, Rui
Liu, Yunxue
Fan, Wendiang
SENSORS, MEASUREMENT AND INTELLIGENT MATERIALS II, PTS 1 AND 2, 2014, 475-476 : 27 - 31
[2] Anderson-Darling test for clutter distribution identification
Zhang, Wei
Yu, Shenglin
Zhang, Gong
Yi Qi Yi Biao Xue Bao/Chinese Journal of Scientific Instrument, 2009, 30 (03): : 631 - 635
[3] Modification of Anderson-Darling goodness-of-fit test for normality
Sulewski, P.
AFINIDAD, 2019, 76 (588) : 270 - 277
[4] APPROXIMATIONS TO THE DISTRIBUTION FUNCTION OF THE ANDERSON-DARLING TEST STATISTIC
SINCLAIR, CD
SPURR, BD
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (404) : 1190 - 1191
[5] Clutter Distribution Identification Based on Anderson-Darling Test
Han, Dongjuan
Tan, Xiaomin
Shi, Pingyan
PROCEEDINGS OF 2017 3RD IEEE INTERNATIONAL CONFERENCE ON COMPUTER AND COMMUNICATIONS (ICCC), 2017, : 830 - 834
[6] The Anderson-Darling goodness-of-fit test statistic for the three-parameter lognormal distribution
Tolikas, Konstantinos
Heravi, Saeed
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2008, 37 (19) : 3135 - 3143
[7] A saddlepoint approximation to the distribution function of the Anderson-Darling test statistic
Giles, DEA
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2001, 30 (04) : 899 - 905
[8] Saddlepoint Approximations to the Limiting Distribution of the Modified Anderson-Darling Test Statistic
Murakami, Hidetoshi
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2009, 38 (10) : 2214 - 2219
[9] Statistical Inference of Doubly Left-Censored Samples from Weibull Distribution
Fusek, Michal
Michalek, Jaroslav
INTERNATIONAL CONFERENCE PDMU-2012: PROBLEMS OF DECISION MAKING UNDER UNCERTAINTIES, 2012, : 31 - 40
[10] Multi-Dimensional Anderson-Darling Statistic Based Goodness-of-Fit Test for Spectrum Sensing
Gurugopinath, Sanjeev
Samudhyatha, B.
2015 SEVENTH INTERNATIONAL WORKSHOP ON SIGNAL DESIGN AND ITS APPLICATIONS IN COMMUNICATIONS (IWSDA), 2015, : 165 - 169

← 1 2 3 4 5 →