Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
976756 | Physica A: Statistical Mechanics and its Applications | 2010 | 8 Pages |
Abstract
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 A2A2 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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
H.F. Coronel-Brizio, A.R. Hernández-Montoya,