Volume no :1, Issue no: 1, March (2009)

Journal of Statistics: Advances in Theory and Applications

TESTS OF FIT FOR ASYMMETRIC LAPLACE DISTRIBUTIONS WITH APPLICATIONS*

Author's: Kostas Fragiadakis and Simos G. Meintanis
Pages: [49] - [63]
Received Date: March 28, 2009
Submitted by:

Abstract

Consistent goodness-of-fit tests for the family of asymmetric Laplace distributions are constructed. The tests are based on a weighted integral incorporating the empirical characteristic function of the data suitably standardized via the maximum likelihood estimators. Finite-sample comparison with classical procedures is provided, as well as applications with financial data.

Keywords

Laplace distribution, goodness-of-fit test, characteristic function, maximum likelihood estimation, skew Laplace distribution, quantitative finance.