Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function

DOI10.1016/j.jmva.2015.05.006zbMath1327.60045OpenAlexW604537822MaRDI QIDQ495365

Joseph Ngatchou-Wandji, Emanuele Taufer, Simos G. Meintanis

Publication date: 10 September 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.05.006

zbMATH Keywords

characteristic functioncharacterizationgoodness-of-fitmultivariate stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Characteristic functions; other transforms (60E10)

Related Items (8)

Comments on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics ⋮ Asymptotics of maximum likelihood estimation for stable law with continuous parameterization ⋮ Goodness-of-fit tests based on the empirical characteristic function ⋮ A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families ⋮ Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function ⋮ Applications of distance correlation to time series ⋮ Testing for serial independence in vector autoregressive models ⋮ A two-sample test for the error distribution in nonparametric regression based on the characteristic function

Uses Software

• Mathematica

Cites Work

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