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2018 | 65 | 3 | 296-313

Article title

Porównanie testów zgodności dla rozkładów uciętych

Content

Title variants

Comparison of the Goodness-of-Fit Tests for Truncated Distributions

Languages of publication

PL

Abstracts

Year

Volume

65

Issue

3

Pages

296-313

Physical description

Contributors

  • Poznan University of Economics and Business, Faculty of Informatics and Electronic Economy, Operations Research Department
author
  • Adam Mickiewicz University, Faculty of Mathematics and Computer Science, Department of Probability and Mathematical Statistics

References

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  • Burnecki K., Chechkin A., Wylomanska A., (2015), Discriminating Between Light- and Heavy-Tailed Distributions with Limit Theorem, PLoS ONE, 10 (12), 1–23.
  • Chernobai A., Burnecki K., Rachev S., Trück S., Weron R., (2006), Modelling Catastrophe Claims with Left-Truncated Severity Distributions, Computational Statistics, 21 (3), 537–555.
  • Chernobai A., Menn C., Rachev S. T., Trück S., (2010), Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study, Working Paper Series in Economics, 4, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  • Chernobai A., Rachev S. T., Fabozzi F. J., (2015), Composite Goodness-of-Fit Tests for Left- Truncated Loss Samples, in: Lee C. F., Lee J., (eds.), Handbook of Financial Econometrics and Statistics, Springer, New York, NY.
  • Clementi F., Gallegati M., Kaniadakis G., (2012), A New Model of Income Distribution: The ? – Generalized Distribution, Journal of Economics, 105 (1), 63–91.
  • Cox D. R., Spjotvoll E., Johansen S., Van Zwet W. R., Bithell J. F., Barndorff-Nielsen O., (1977), The Role of Significance Tests, Scandinavian Journal of Statistics, 4 (2), 49–70.
  • Echaust K., (2014), Ryzyko zdarzeń ekstremalnych na rynku kontraktów futures w Polsce, Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu, Poznań.
  • Fagiolo G., Alessi L., Barigozzi M., Capasso M., (2010), On the Distributional Properties of Household Consumption Expenditures: The Case of Italy, Empirical Economics, 38 (3), 717–741.
  • Feller W., (1950), An Introduction to Probability Theory and Its Applications, Wiley, New York. Fischer M., Jakob K., (2016), pTAS Distributions with Application to Risk Management, Journal of Statistical Distributions and Applications, 3 (1), 1–18.
  • Górecki T., (2011), Podstawy statystyki z przykładami w R, Wydawnictwo BTC, Legionowo. Górecki T., Smaga Ł., (2015), A Comparison of Tests for the One-Way ANOVA Problem for Functional Data, Computational Statistics, 30, 987–1010.
  • Guegan D., Hassani B.K., (2018), More Accurate Measurement for Enhanced Controls: VaR vs ES?, Journal of International Financial Markets, Institutions & Money, 54, 152-165.
  • Haas M., Pigorsch C., (2009), Financial Economics, Fat-Tailed Distributions, Encyclopedia of Complexity and Systems Science, 4, 3404–3435.
  • Kim J. H., Ji P. I., (2015), Significance Testing in Empirical Finance: A Critical Review and Assessment, Journal of Empirical Finance, 34, 1–14.
  • Krzyśko M., (2000), Wykłady z teorii prawdopodobieństwa, Wydawnictwa Naukowo-Techniczne, Warszawa.
  • Krzyśko M., (2004), Statystyka matematyczna, Wydawnictwo Naukowe UAM, Poznań.
  • Lach A., (2017), Testy zgodności z rozkładami uciętymi, Praca licencjacka, Uniwersytet im. Adama Mickiewicza, Poznań.
  • Magiera R., (2005), Modele i metody statystyki matematycznej. Cz. 1: Rozkłady i symulacja stochastyczna, Oficyna Wydawnicza GiS, Wrocław.
  • Mandelbrot B., (1963), The Variation of Certain Speculative Prices, The Journal of Business, 36, 394-419.
  • Mineo A.M., (2014), normalp: Routines for Exponential Power Distribution, R package version 0.7.0, https://CRAN.R-project.org/package=normalp.
  • Orzeszko W., (2014), Symulacyjna ocena rozmiaru testu BDS, Przegląd Statystyczny, 4 (61), 335– –361.
  • Pavia J. M., (2015), Testing Goodness-of-Fit with the Kernel Density Estimator: GoFKernel, Journal of Statistical Software, 66, 1–27.
  • Piasecki K., Tomasik E., (2013), Rozkłady stóp zwrotu z instrumentów polskiego rynku kapitałowego, Wydawnictwo edu-Libri, Kraków, Warszawa.
  • R Core Team, (2017), R: A Language and Environment for Statistical Computing, R Foundation for Statistical Computing, Vienna, Austria, http://www.R-project.org/.
  • Revolution Analytics, Weston S., (2015), doParallel: Foreach Parallel Adaptor for the ’parallel’ Package, R package version 1.0.10, http://CRAN.R-project.org/package=doParallel.
  • Smaga Ł., (2017), A Two-Sample Test Based on Cluster Subspaces for Equality of Mean Vectors in High Dimension, Discussiones Mathematicae Probability and Statistics, 37, 147–156.
  • Wolter T., (2012). Truncgof: GoF Tests Allowing for Left Truncated Data, R package version 0.6-0, https://CRAN.R-project.org/package=truncgof.

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.polindex-article-doi-10_5604_01_3001_0014_0541
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