Weighted Kolmogorov-Smirnov test: Accounting for the tails
AbstractAccurate goodness-of-fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance, and finance. We have derived exact asymptotic results for a generalization of the large-sample Kolmogorov-Smirnov test, well suited to testing these extreme tails. In passing, we have rederived and made more precise the approximate limit solutions found originally in unrelated fields, first in [L. Turban, J. Phys. A 25, 127 (1992)] and later in [P. L. Krapivsky and S. Redner, Am. J. Phys. 64, 546 (1996)].
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1207.7308.
Date of creation: Jul 2012
Date of revision: Oct 2012
Publication status: Published in Phys. Rev. E 86 (4):1115 (2012)
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- R\'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "Some applications of first-passage ideas to finance," Papers 1306.3110, arXiv.org.
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