Goodness‐of‐fit tests for the hyperbolic distribution

descriptionPublicationkeyboard_double_arrow_right Article 01 Jun 2001 English Publisher:WileyJournal:Canadian Journal of Statistics, volume 29, pages 309-320 (issn: 0319-5724, eissn: 1708-945X,

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Authors: Puig, Pedro; Stephens, Michael A.;

doi: 10.2307/3316079

Goodness‐of‐fit tests for the hyperbolic distribution

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Abstract

AbstractThe authors give tests of fit for the hyperbolic distribution, based on the Cramér‐von Mises statistic W2. They consider the general case with four parameters unknown, and some specific cases where one or two parameters are fixed. They give two examples using stock price data.

Related Organizations

Simon Fraser University
Canada
Autonomous University of Barcelona
Spain

Keywords

Applications of statistics to actuarial sciences and financial mathematics, stock market prices, Cramer-von Mises statistics, EDF tests, Nonparametric hypothesis testing

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