This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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457
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Statistical Computing
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Abstract - #308261 |
Title:
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Tests of Goodness-of-Fit Based on Smooth Alternatives to the Quantile Function
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Author(s):
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Olivier Thas*+ and John C.W. Rayner
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Companies:
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Ghent University and University of Newcastle
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Address:
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Coupure Links 653, Gent, International, 9000, Belgium
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Keywords:
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L-moments ;
generalised Pareto Distribution ;
exponential distribution ;
nuisance parameter estimation
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Abstract:
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Smooth tests of goodness-of fit are traditionally based on smooth alternatives to the hypothesised density function. For many distributions this results in powerful tests which are diagnostic in terms of moment deviations. In this paper we present tests that start from smooth alternatives to the quantile function. These tests are diagnostic in terms of L-moments. Conditions for L-moments to exist, are weaker than for the ordinary moments. This type of construction is thus particularly helpful for distributions for which not all ordinary moments exist. This happens, for example, for the Generalised Pareto Distribution (GPD). After having discussed the construction of the test statistic and its asymptotic null distribution, we present the results of an empirical power study, and we demonstrate the test on the GPD and exponential distribution. We also consider nuisance parameter estimation.
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