Testing for the generalized normal-Laplace distribution with applications

Meintanis, Simos G. and Tsionas, Michael (2010) Testing for the generalized normal-Laplace distribution with applications. Computational Statistics and Data Analysis, 54 (12). pp. 3174-3180. ISSN 0167-9473

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Abstract

The generalized normal-Laplace distribution is a useful law for modelling asymmetric data exhibiting excess kurtosis. Goodness-of-fit tests for this distribution are constructed which utilize the corresponding moment generating function, and its empirical counterpart. The consistency and other properties of the test are investigated under general assumptions, and the proposed procedure is applied, following a non-trivial estimation step, to test the fit of some financial data.

Item Type:
Journal Article
Journal or Publication Title:
Computational Statistics and Data Analysis
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2613
Subjects:
ID Code:
65243
Deposited By:
Deposited On:
17 Jun 2013 12:59
Refereed?:
Yes
Published?:
Published
Last Modified:
19 Nov 2020 10:19