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Testing for the generalized normal-Laplace distribution with applications

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Testing for the generalized normal-Laplace distribution with applications. / Meintanis, Simos G.; Tsionas, Michael.
In: Computational Statistics and Data Analysis, Vol. 54, No. 12, 01.12.2010, p. 3174-3180.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Meintanis, SG & Tsionas, M 2010, 'Testing for the generalized normal-Laplace distribution with applications', Computational Statistics and Data Analysis, vol. 54, no. 12, pp. 3174-3180. https://doi.org/10.1016/j.csda.2009.05.015

APA

Meintanis, S. G., & Tsionas, M. (2010). Testing for the generalized normal-Laplace distribution with applications. Computational Statistics and Data Analysis, 54(12), 3174-3180. https://doi.org/10.1016/j.csda.2009.05.015

Vancouver

Meintanis SG, Tsionas M. Testing for the generalized normal-Laplace distribution with applications. Computational Statistics and Data Analysis. 2010 Dec 1;54(12):3174-3180. doi: 10.1016/j.csda.2009.05.015

Author

Meintanis, Simos G. ; Tsionas, Michael. / Testing for the generalized normal-Laplace distribution with applications. In: Computational Statistics and Data Analysis. 2010 ; Vol. 54, No. 12. pp. 3174-3180.

Bibtex

@article{d0043b2c40cd4bbb926ad44b5671543a,
title = "Testing for the generalized normal-Laplace distribution with applications",
abstract = "The generalized normal-Laplace distribution is a useful law for modelling asymmetric data exhibiting excess kurtosis. Goodness-of-fit tests for this distribution are constructed which utilize the corresponding moment generating function, and its empirical counterpart. The consistency and other properties of the test are investigated under general assumptions, and the proposed procedure is applied, following a non-trivial estimation step, to test the fit of some financial data.",
author = "Meintanis, {Simos G.} and Michael Tsionas",
year = "2010",
month = dec,
day = "1",
doi = "10.1016/j.csda.2009.05.015",
language = "English",
volume = "54",
pages = "3174--3180",
journal = "Computational Statistics and Data Analysis",
issn = "0167-9473",
publisher = "Elsevier",
number = "12",

}

RIS

TY - JOUR

T1 - Testing for the generalized normal-Laplace distribution with applications

AU - Meintanis, Simos G.

AU - Tsionas, Michael

PY - 2010/12/1

Y1 - 2010/12/1

N2 - The generalized normal-Laplace distribution is a useful law for modelling asymmetric data exhibiting excess kurtosis. Goodness-of-fit tests for this distribution are constructed which utilize the corresponding moment generating function, and its empirical counterpart. The consistency and other properties of the test are investigated under general assumptions, and the proposed procedure is applied, following a non-trivial estimation step, to test the fit of some financial data.

AB - The generalized normal-Laplace distribution is a useful law for modelling asymmetric data exhibiting excess kurtosis. Goodness-of-fit tests for this distribution are constructed which utilize the corresponding moment generating function, and its empirical counterpart. The consistency and other properties of the test are investigated under general assumptions, and the proposed procedure is applied, following a non-trivial estimation step, to test the fit of some financial data.

U2 - 10.1016/j.csda.2009.05.015

DO - 10.1016/j.csda.2009.05.015

M3 - Journal article

VL - 54

SP - 3174

EP - 3180

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

SN - 0167-9473

IS - 12

ER -