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arXiv · 2009.13995

On a new test of fit to the beta distribution

Bruno Ebner·Shawn C. Liebenberg
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Abstract

We propose a new $L^2$-type goodness-of-fit test for the family of beta distributions based on a conditional moment characterisation. The asymptotic null distribution is identified, and since it depends on the underlying parameters, a parametric bootstrap procedure is proposed. Consistency against all alternatives that satisfy a convergence criterion is shown, and a Monte Carlo simulation study indicates that the new procedure outperforms most of the classical tests. Finally, the procedure is applied to a real data set related to air humidity.

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Bruno Ebner, Shawn C. Liebenberg. 2020-09-29. On a new test of fit to the beta distribution. https://arxiv.org/abs/2009.13995

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