- Title
- Generalised smooth tests of goodness of fit utilising L-moments
- Creator
- Thas, O.; Rayner, J. C. W.; De Neve, J.
- Relation
- Australian & New Zealand Journal of Statistics Vol. 57, Issue 4, p. 481-499
- Publisher Link
- http://dx.doi.org/10.1111/anzs.12130
- Publisher
- Wiley-Blackwell Publishing Asia
- Resource Type
- journal article
- Date
- 2015
- Description
- In this paper we present a semiparametric test of goodness of fit which is based on the method of L-moments for the estimation of the nuisance parameters. This test is particularly useful for any distribution that has a convenient expression for its quantile function. The test proceeds by investigating equality of the first few L-moments of the true and the hypothesised distributions. We provide details and undertake simulation studies for the logistic and the generalised Pareto distributions. Although for some distributions the method of L-moments estimator is less efficient than the maximum likelihood estimator, the former method has the advantage that it may be used in semiparametric settings and that it requires weaker existence conditions. The new test is often more powerful than competitor tests for goodness of fit of the logistic and generalised Pareto distributions.
- Subject
- generalised Pareto distribution; logistic distribution; order statistics; quantile function
- Identifier
- http://hdl.handle.net/1959.13/1317832
- Identifier
- uon:23517
- Identifier
- ISSN:1369-1473
- Rights
- This is the peer reviewed version of the following article: Thas, O., Rayner, J.C.W. and De Neve, J. (2015), Generalised Smooth Tests of Goodness of Fit Utilising L-moments. Aust. N. Z. J. Stat., 57: 481–499. doi:10.1111/anzs.12130. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
- Language
- eng
- Full Text
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