Physics – Data Analysis – Statistics and Probability
Scientific paper
2010-04-03
Physica A, Volume 389, Issue 17, 3508-3515 (2010)
Physics
Data Analysis, Statistics and Probability
14 pages, 3 figures
Scientific paper
Maximum likelihood estimation and a test of fit based on the Anderson-Darling statistic is 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 A^2 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.
Coronel-Brizio H. F.
Hernandez-Montoya A. R.
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