The Anderson–Darling test of fit for the power-law distribution from left-censored samples

H.F. Coronel-Brizio and A.R. Hernández-Montoya

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 17, 3508-3515

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 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:17:p:3508-3515

DOI: 10.1016/j.physa.2010.03.041

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