Comparison of the Goodness-of-Fit Tests for Truncated Distributions

Agnieszka Lach; Łukasz Smaga

doi:10.5604/01.3001.0014.0541

Agnieszka Lach Poznan University of Economics and Business, Faculty of Informatics and Electronic Economy, Operations Research Department , Łukasz Smaga Adam Mickiewicz University, Faculty of Mathematics and Computer Science, Department of Probability and Mathematical Statistics Przegląd Statystyczny. Statistical Review, vol. 65, 2018, 3, pages: 296-313 Published online: 30 January 2019 DOI 10.5604/01.3001.0014.0541

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ABSTRACT

The aim of this paper is to investigate the finite sample behavior of seven goodness-of-fit tests for left truncated distributions of Chernobai et al. (2015) in terms of size and power. Simulation experiments are based on artificial data generated from the distributions that were used in the past or are used nowadays to describe the tails of asset returns. The study was conducted for different tail thickness and for changing truncation point. Simulation results indicate that the testing procedures do not work equally well under finite samples, and some of them require quite large number of observations to perform satisfactorily.

KEYWORDS

goodness of fit tests, power of test, R program, size of test, truncated distributions

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