A note on weighted least square distribution fitting and full standardization of the empirical distribution function

Andrew R. Barron (), Mirta Benšić () and Kristian Sabo ()
Additional contact information
Andrew R. Barron: Yale University
Mirta Benšić: University of Osijek
Kristian Sabo: University of Osijek

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, vol. 27, issue 4, No 13, 946-967

Abstract: Abstract The relationship between the norm square of the standardized cumulative distribution and the chi-square statistic is examined using the form of the covariance matrix as well as the projection perspective. This investigation enables us to give uncorrelated components of the chi-square statistic and to provide interpretation of these components as innovations standardizing the cumulative distribution values. The norm square of the standardized difference between empirical and theoretical cumulative distributions is also examined as an objective function for parameter estimation. Its relationship to the chi-square distance enables us to discuss the large sample properties of these estimators and a difference in their properties in the cases that the distribution is evaluated at fixed and random points.

Keywords: Weighted least squares; Minimum chi-square; Empirical distribution; Distribution fitting; 62F10 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11749-018-0578-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:27:y:2018:i:4:d:10.1007_s11749-018-0578-2

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-018-0578-2

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().