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Tests of Fit for Wrapped Stable Distributions Based on the Characteristic Function

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Methodology and Applications of Statistics

Part of the book series: Contributions to Statistics ((CONTRIB.STAT.))

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Abstract

We consider composite goodness-of-fit tests for wrapped stable distributions on the circle with unknown parameters, based on the empirical characteristic function. The tests are implemented in particular for testing goodness of fit of the symmetric stable family against general alternatives. An extensive Monte Carlo study is carried out by using the parametric bootstrap in order to compare the new tests with other existing omnibus tests for goodness of fit, which demonstrates that the tests proposed here perform better against a large variety of alternatives. We then illustrate our methods by applying the tests to a real data set.

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Acknowledgements

The authors would like to thank the Editors of this Volume for making us part of the celebration of Prof. C.R. Rao’s Centenary, and the two reviewers for helping us make the paper more readable.

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Authors and Affiliations

  1. Department of Economics, National and Kapodistrian University of Athens, Athens, Greece

    Simos G. Meintanis

  2. Unit for Pure and Applied Analytics, North–West University, Potchefstroom, South Africa

    Simos G. Meintanis

  3. Department of Statistics and Applied Probability, University of California, Santa Barbara, USA

    S. Rao Jammalamadaka

  4. JPMorgan Chase & Co., New York City, NY, USA

    Qianyu Jin

Authors
  1. Simos G. Meintanis
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  2. S. Rao Jammalamadaka
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  3. Qianyu Jin
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Corresponding author

Correspondence to Simos G. Meintanis .

Editor information

Editors and Affiliations

  1. Department of Statistics, University of California, Riverside, CA, USA

    Barry C. Arnold

  2. Department of Mathematics and Statistics, McMaster University, Hamilton, ON, Canada

    Narayanaswamy Balakrishnan

  3. NOVA School of Science and Technology, NOVA University of Lisbon, Caparica, Portugal

    Carlos A. Coelho

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Meintanis, S.G., Jammalamadaka, S.R., Jin, Q. (2021). Tests of Fit for Wrapped Stable Distributions Based on the Characteristic Function. In: Arnold, B.C., Balakrishnan, N., Coelho, C.A. (eds) Methodology and Applications of Statistics. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-030-83670-2_18

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