Journal
MATHEMATICAL AND COMPUTER MODELLING
Volume 53, Issue 5-6, Pages 769-779Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.mcm.2010.10.014
Keywords
Multivariate Laplace distribution; Goodness-of-fit test; Empirical characteristic function; Multivariate skewness; Monte Carlo test
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Consistent goodness-of-fit tests are proposed for symmetric and asymmetric multivariate Laplace distributions of arbitrary dimension. The test statistics are formulated following the Fourier-type approach of measuring the weighted discrepancy between the empirical and the theoretical characteristic function, and result in computationally convenient representations. For testing the symmetric Laplace distribution, and in the particular case of a Gaussian weight function, a limit value of these test statistics is obtained when this weight function approaches a Dirac delta function. Interestingly, this limit value is related to a couple of well-known measures of multivariate skewness. A Monte Carlo study is conducted in order to compare the new procedures with standard tests based on the empirical distribution function. A real data application is also included. (C) 2010 Elsevier Ltd. All rights reserved.
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