A Goodness-of-Fit Test for Generalized Error Distribution

29 Pages Posted: 6 Apr 2017

Date Written: February 23, 2017

Abstract

The Generalized Error Distribution is a widely used flexible family of symmetric probability distribution. Thanks to its properties, it is becoming more and more popular in many fields of science, and therefore it is important to determine whether a sample is drawn from a GED, usually done using a graphical approach. In this paper we present a new goodness-of-fit test for GED that performs well in detecting non-GED distribution when the alternative distribution is either skewed or a mixture. A comparison between well-known tests and this new procedure is performed through a simulation study. We have developed a function that performs the analysis described in this paper in the R environment. The computational time required to compute this procedure is negligible.

Keywords: exponential power distribution, kurtosis, normal standardized Q-Q plot

JEL Classification: C14, C15, C63

Suggested Citation

Coin, Daniele, A Goodness-of-Fit Test for Generalized Error Distribution (February 23, 2017). Bank of Italy Temi di Discussione (Working Paper) No. 1096, Available at SSRN: https://ssrn.com/abstract=2946894 or http://dx.doi.org/10.2139/ssrn.2946894

Daniele Coin (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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