4.3 Article

A comprehensive empirical power comparison of univariate goodness-of-fit tests for the Laplace distribution

Journal

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume 92, Issue 18, Pages 3743-3788

Publisher

TAYLOR & FRANCIS LTD
DOI: 10.1080/00949655.2022.2082428

Keywords

Laplace distribution; goodness-of-fit tests; Monte Carlo simulations; power comparison; double exponential; symmetric distributions; heavy-tailed distributions

Funding

  1. Research Technology Services at UNSW Sydney

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This paper presents an empirical comparison of 40 goodness-of-fit tests for the univariate Laplace distribution using Monte Carlo simulations. The study includes sample sizes of 20, 50, 100, 200 and significance levels of 0.01, 0.05, 0.10. The results provide recommendations for the best tests and include a real-data example using weekly log-returns of Amazon stock.
In this paper, we present the results from an empirical power comparison of 40 goodness-of-fit tests for the univariate Laplace distribution, carried out using Monte Carlo simulations with sample sizes n = 20, 50, 100, 200, significance levels alpha = 0.01, 0.05, 0.10, and 400 alternatives consisting of asymmetric and symmetric light/heavy-tailed distributions taken as special cases from 11 models. In addition to the unmatched scope of our study, an interesting contribution is the proposal of an innovative design for the selection of alternatives. The 400 alternatives consist of 20 specific cases of 20 submodels drawn from the main 11 models. For each submodel, the 20 specific cases corresponded to parameter values chosen to cover the full power range. An analysis of the results leads to a recommendation of the best tests for five different groupings of the alternative distributions. A real-data example is also presented, where an appropriate test for the goodness-of-fit of the univariate Laplace distribution is applied to weekly log-returns of Amazon stock over a recent 4-year period.

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