A New Goodness-of-Fit Test Based on the Empirical Characteristic Function |
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Authors: | M. Towhidi M. Salmanpour |
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Affiliation: | 1. Department of Statistics , Shiraz University , Shiraz, Iran mtowhidi@susc.ac.ir;3. Department of Statistics , Shiraz University , Shiraz, Iran |
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Abstract: | In this article, we present a goodness-of-fit test for a distribution based on some comparisons between the empirical characteristic function cn(t) and the characteristic function of a random variable under the simple null hypothesis, c0(t). We do this by introducing a suitable distance measure. Empirical critical values for the new test statistic for testing normality are computed. In addition, the new test is compared via simulation to other omnibus tests for normality and it is shown that this new test is more powerful than others. |
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Keywords: | Characteristic function Eigen values Eigen vectors Empirical characteristic function Goodness-of-fit test Multivariate central limit theorem Principal components method |
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