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Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE

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  • Muneya Matsui
  • Akimichi Takemura

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  • Muneya Matsui & Akimichi Takemura, 2005. "Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 183-199, March.
    • Handle: RePEc:spr:aistmt:v:57:y:2005:i:1:p:183-199
    DOI: 10.1007/BF02506887
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    References listed on IDEAS

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    1. Besbeas, Panagiotis & Morgan, Byron J. T., 2001. "Integrated squared error estimation of Cauchy parameters," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 397-401, December.
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    Cited by:

    1. Meintanis, Simos G. & Ngatchou-Wandji, Joseph & Taufer, Emanuele, 2015. "Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 171-192.
    2. Meintanis, Simos & Swanepoel, Jan, 2007. "Bootstrap goodness-of-fit tests with estimated parameters based on empirical transforms," Statistics & Probability Letters, Elsevier, vol. 77(10), pages 1004-1013, June.
    3. M. Jiménez Gamero, 2014. "On the empirical characteristic function process of the residuals in GARCH models and applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 409-432, June.
    4. M. Jiménez-Gamero & A. Batsidis & M. Alba-Fernández, 2016. "Fourier methods for model selection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 105-133, February.
    5. Parker, Thomas, 2010. "A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters," MPRA Paper 22926, University Library of Munich, Germany.
    6. Manuel Landajo & María José Presno, 2010. "Stationarity testing under nonlinear models. Some asymptotic results," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 392-405, September.
    7. Muneya Matsui & Akimichi Takemura, 2005. "Goodness-of-Fit Tests for Symmetric Stable Distributions - Empirical Characteristic Function Approach," CIRJE F-Series CIRJE-F-384, CIRJE, Faculty of Economics, University of Tokyo.
    8. Jiménez-Gamero, M. Dolores & Kim, Hyoung-Moon, 2015. "Fast goodness-of-fit tests based on the characteristic function," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 172-191.
    9. Jiménez-Gamero, M.D. & Alba-Fernández, M.V. & Jodrá, P. & Barranco-Chamorro, I., 2015. "An approximation to the null distribution of a class of Cramér–von Mises statistics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 118(C), pages 258-272.
    10. Yuichi Akaoka & Kazuki Okamura & Yoshiki Otobe, 2022. "Bahadur efficiency of the maximum likelihood estimator and one-step estimator for quasi-arithmetic means of the Cauchy distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(5), pages 895-923, October.
    11. Alba Fernández, M.V. & Jiménez Gamero, M.D. & Castillo Gutiérrez, S., 2014. "Approximating a class of goodness-of-fit test statistics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 102(C), pages 24-38.

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