Goodness-of-fit testing for the Cauchy distribution with application to financial modeling

被引：19
|
作者：
Mahdizadeh, M. [1 ]
Zamanzade, Ehsan [2 ]
机构：
[1] Hakim Sabzevari Univ, Dept Stat, POB 397, Sabzevar, Iran
[2] Univ Isfahan, Dept Stat, Esfahan 8174673441, Iran
来源：
JOURNAL OF KING SAUD UNIVERSITY SCIENCE | 2019年 / 31卷 / 04期
关键词：
Entropy; Fat-tailed distributions; Financial returns; ENTROPY; STATISTICS; ESTIMATOR;
D O I：
10.1016/j.jksus.2019.01.015
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This article deals with goodness-of-fit test for the Cauchy distribution. Six new tests based on Kullback-Leibler information are proposed, and shown to be consistent. Monte Carlo evidence indicates that the tests have satisfactory performances against symmetric alternatives. An empirical application to quantitative finance is provided. (C) 2019 The Authors. Production and hosting by Elsevier B.V. on behalf of King Saud University.
引用
收藏
页码：1167 / 1174
页数：8
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