Advances and Applications in Statistics
Volume 50, Issue 2, Pages 123 - 136
(February 2017) http://dx.doi.org/10.17654/AS050020123 |
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TESTS OF FIT FOR THE POWER-LAW DISTRIBUTION AND SOME APPLICATIONS TO THE MEXICAN STOCK MARKET INDEX RELATIVE CHANGES
H. F. Coronel-Brizio, A. R. Hernández-Montoya and M. E. RodrÃguez-Achach
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Abstract: In this paper, a power-law distribution goodness-of-fit test methodology based on the empirical distribution function (EDF) statistics is presented, besides a Monte Carlo study to estimate the speed of convergence of this method. Related problems are discussed. In particular, we show an analysis of the daily variations distribution of the IPC, the Mexican Stock Market Index. The results obtained for this distribution are consistent with a Pareto distribution with exponent distribution for also consistent with other previous studies. |
Keywords and phrases: order statistics, goodness-of-fit, empirical distribution function, Anderson-Darling, Cramér von-Mises, Pareto distribution, power-law distribution. |
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