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

Author

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  • H. F. Coronel-Brizio

    (Facultad de Fisica e Inteligencia Artificial, Departamento de Inteligencia Artificial, Universidad Veracruzana, Mexico)

  • A. R. Hernandez-Montoya

    (Facultad de Fisica e Inteligencia Artificial, Departamento de Inteligencia Artificial, Universidad Veracruzana, Mexico)

Abstract

Maximum likelihood estimation and a test of fit based on the Anderson-Darling statistic is 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 A^2 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.

Suggested Citation

  • H. F. Coronel-Brizio & A. R. Hernandez-Montoya, 2010. "The Anderson-Darling test of fit for the power law distribution from left censored samples," Papers 1004.0417, arXiv.org.
  • Handle: RePEc:arx:papers:1004.0417
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    File URL: http://arxiv.org/pdf/1004.0417
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    References listed on IDEAS

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    1. Ivan O. KITOV & Oleg I. KITOV & Svetlana A. DOLINSKAYA, 2009. "Modelling Real Gdp Per Capita In The Usa:Cointegration Tests," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(1(7)_ Spr).
    2. Kitov, Ivan & Kitov, Oleg, 2007. "Exact prediction of S&P 500 returns," MPRA Paper 6056, University Library of Munich, Germany.
    3. Ivan O. KITOV, 2010. "Predicting Real Economic Growth In France, Germany, New Zealand, And The United Kingdom," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(1(11)_Spr), pages 48-54.
    4. Ivan O. KITOV, 2009. "The Evolution Of Real Gdp Per Capita In Developed Countries," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(2(8)_ Sum).
    5. David F. Hendry & Katarina Juselius, 2001. "Explaining Cointegration Analysis: Part II," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
    6. Kitov, Ivan & Kitov, Oleg & Dolinskaya, Svetlana, 2008. "Comprehensive macro-model for the U.S. economy," MPRA Paper 9808, University Library of Munich, Germany.
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    Cited by:

    1. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
    2. Politi, Mauro & Millot, Nicolas & Chakraborti, Anirban, 2012. "The near-extreme density of intraday log-returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 147-155.

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