Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 389, Issue 17, Pages 3508-3515Publisher
ELSEVIER
DOI: 10.1016/j.physa.2010.03.041
Keywords
Power-law distribution; Complexity; Goodness of fit; EDF-based tests; Anderson-Darling; Asymptotic distributions; Type II censoring; Maximum likelihood estimation
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Funding
- Sistema Nacional de Investigadores (SNI-CONACyT, Mexico)
- CONACyT [129141]
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Maximum likelihood estimation and a test of fit based on the Anderson Darling statistic are presented for the case of the power-law distribution when the parameters are estimated from a left-censored sample. Expressions for the maximum likelihood estimators and tables of asymptotic percentage points for the A(2) statistic are given. The technique is illustrated for data from the Dow Jones Industrial Average index, an example of high theoretical and practical importance in Econophysics, Finance, Physics, Biology and, in general, in other related sciences such as Complexity Sciences. (C) 2010 Elsevier B.V. All rights reserved.
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