Author： Fragiadakis K.
Publisher： Taylor & Francis Ltd
ISSN： 0094-9655
Source： Journal of Statistical Computation and Simulation, Vol.83, Iss.3, 2013-03, pp. : 555-567
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Abstract
Goodness-of-fit tests for the family of the four-parameter normal-variance gamma distribution are constructed. The tests are based on a weighted integral incorporating the empirical characteristic function of suitably standardized data. Non-standard algorithms are employed for the computation of the maximum-likelihood estimators of the parameters involved in the test statistic, while Monte Carlo results are used in order to compare the new test with some classical goodness-of-fit methods. A real-data application is also included.
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