Goodness-of-Fit Tests for the Gamma Distribution Based on the Empirical Laplace Transform |
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Authors: | Norbert Henze Bruno Ebner |
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Affiliation: | Institut für Stochastik, Karlsruhe Institute of Technology (KIT) , Karlsruhe , Germany |
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Abstract: | We propose a class of goodness-of-fit tests for the gamma distribution that utilizes the empirical Laplace transform. The consistency of the tests as well as their asymptotic distribution under the null hypothesis are investigated. As the decay of the weight function tends to infinity, the test statistics approach limit values related to the first non zero component of Neyman's smooth test for the gamma law. The new tests are compared with other omnibus tests for the gamma distribution. |
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Keywords: | Empirical Laplace transform Gamma distribution Goodness-of-fit test Smooth test |
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