The Anderson-Darling test of fit for the power-law distribution from left-censored samples |
| |
| Authors: | HF Coronel-Brizio |
| |
| Institution: | Facultad de Física e Inteligencia Artificial, Departamento de Inteligencia Artificial, Universidad Veracruzana, Xalapa, Veracruz, México |
| |
| Abstract: | 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 A2 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. |
| |
| Keywords: | Power-law distribution Complexity Goodness of fit EDF-based tests Anderson-Darling Asymptotic distributions Type II censoring Maximum likelihood estimation |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
