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The Anderson-Darling test of fit for the power law distribution from left censored samples
Power law distribution Complexity Goodness-of-fit
2010/10/20
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 ...
Fitting the Log Periodic Power Law to financial crashes: a critical analysis
Log Periodic Power Law financial crashes critical analysis
2010/10/18
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain rang...
Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Universal Correlations Power-Law Tails Financial Covariance Matrices
2010/11/1
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is dev...
