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
收藏
页码：3508 / 3515
页数：8
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