Autori
Pitera, Marcin
Chechkin, Aleksei
Wylomanska, Agnieszka

Titolo
Goodness-of-fit test for a-stable distribution based on the quantile conditional variance statistics
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2022 - Volume: 31 - Fascicolo: 2 - Pagina iniziale: 387 - Pagina finale: 424

The class of α-stable distributions is ubiquitous in many areas including signal processing, finance, biology, physics, and condition monitoring. In particular, it allows efficient noise modeling and incorporates distributional properties such as asymmetry and heavy-tails. Despite the popularity of this modeling choice, most statistical goodness-of-fit tests designed for α-stable distributions are based on a generic distance measurement methods. To be efficient, those methods require large sample sizes and often do not efficiently discriminate distributions when the corresponding α-stable parameters are close to each other. In this paper, we propose a novel goodness-of-fit method based on quantile (trimmed) conditional variances that is designed to overcome these deficiencies and outperforms many benchmark testing procedures. The effectiveness of the proposed approach is illustrated using extensive simulation study with focus set on the symmetric case. For completeness, an empirical example linked to plasma physics is provided.



SICI: 1618-2510(2022)31:2<387:GTFADB>2.0.ZU;2-G

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