Independent Additive Weighted Bias Distributions and Associated Goodness-of-Fit Tests

Bruno Ebner () and Yvik Swan ()
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Bruno Ebner: Karlsruhe Institute of Technology (KIT), Institute of Stochastics
Yvik Swan: Université libre de Bruxelles, Département de Mathématique

A chapter in Recent Advances in Econometrics and Statistics, 2024, pp 511-532 from Springer

Abstract: Abstract We use a Stein identity to define a new class of distributions which we call “independent additive weighted bias distributions.” We investigate related L 2 $$L^2$$ -type discrepancy measures, empirical versions of which not only encompass traditional ODE-based procedures but also offer novel methods for conducting goodness-of-fit tests in composite hypothesis testing problems. We determine critical values for these new procedures using a parametric bootstrap approach and evaluate their power through Monte Carlo simulations. As an illustration, we apply these procedures to examine the compatibility of two real datasets with a compound Poisson gamma distribution.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-61853-6_26

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DOI: 10.1007/978-3-031-61853-6_26

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