Mitic, P;
(2015)
Improved goodness-of-fit measures.
Journal of Operational Risk
, 10
(1)
pp. 77-126.
10.21314/JOP.2015.159.
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Abstract
New goodness-of-fit measures which are significant improvements on existing measures are described. They use the intuitive geometrical concept of the area enclosed by the curve of a fitted distribution and the profile of the empirical cumulative distribution function.A transformation of this profile simplifies the geometry and provides three new goodness-of-fit tests. The integrity of this transformation is justified by topological arguments. The new tests provide a quantitative justification for qualitative judgements on goodness-of-fit, are independent of population size and provide a workable way to objectively choose a best fit distribution from a group of candidate distributions.
| Type: | Article |
|---|---|
| Title: | Improved goodness-of-fit measures |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.21314/JOP.2015.159 |
| Publisher version: | https://doi.org/10.21314/JOP.2015.159 |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | goodness-of-fit; transformed normal; cumulative distribution; significance level; topology |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10163343 |
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