Goodness-of-Fit Test for One-Sided Lévy Distribution Based on Stein’s Characterization

Article Type

Research Article

Publication Title

Journal of the Indian Society for Probability and Statistics

Abstract

The aim of this work is to propose a new goodness-of-fit test for one-sided Lévy distribution based on recently developed Stein’s type characterization. The asymptotic properties of the proposed test statistic are studied. We also modified the test procedure to incorporate randomly right-censored observations. The empirical size and power of both the tests (uncensored and censored) are obtained using the parametric bootstrap procedure and compared with other tests available in the literature. We illustrate the use of the proposed tests by means of real data sets.

First Page

377

Last Page

391

DOI

https://10.1007/s41096-023-00158-5

Publication Date

12-1-2023

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