On a new test of fit to the beta distribution
Methodology
2020-09-30 v1 Statistics Theory
Statistics Theory
Abstract
We propose a new -type goodness-of-fit test for the family of beta distributions based on a conditional moment characterisation. The asymptotic null distribution is identified, and since it depends on the underlying parameters, a parametric bootstrap procedure is proposed. Consistency against all alternatives that satisfy a convergence criterion is shown, and a Monte Carlo simulation study indicates that the new procedure outperforms most of the classical tests. Finally, the procedure is applied to a real data set related to air humidity.
Keywords
Cite
@article{arxiv.2009.13995,
title = {On a new test of fit to the beta distribution},
author = {Bruno Ebner and Shawn C. Liebenberg},
journal= {arXiv preprint arXiv:2009.13995},
year = {2020}
}
Comments
10 pages, 1 figure, 5 tables