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A goodness-of-fit test for generalized error distribution

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  • Daniele Coin

Abstract

The Generalized Error Distribution is a widespread flexible family of symmetric probability distribution. Thanks to its properties it is becoming more and more popular in many science fields therefore determining if a sample is drawn from a GED is an important issue that usually is pursued with a graphical approach. In this paper we present a new goodness-of-fit test for GED that shows good performances for detecting non GED distribution when the alternative distribution is either skewed or a mixture. A comparison between well known tests and this new procedure is performed through a simulation study. We have developed a function that performs the analysis described in this paper in the R environment. The computational time required to compute this procedure is negligible.

Suggested Citation

  • Daniele Coin, 2017. "A goodness-of-fit test for generalized error distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(23), pages 11485-11499, December.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:23:p:11485-11499
    DOI: 10.1080/03610926.2016.1271426
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