Distribution test for a laplace distribution
Posted: Tue Jun 01, 2010 2:28 pm
Hi!
I´m looking for somekind of a test for the fit of a laplace distribution i.e. whether the estimated error structure follows the laplace distribution. It´s easy for the normal distribution with the jarque-bera, but I´m not quite sure how to get one done for a laplace distribution = GED with fixed parameter of 1. I´ve scavanged the net but dont seem to get a hold of the subject. The exponential distribution EDF-test in Eviews is I guess pretty close but I would need the double exponential distribution test...
Any help would be appreciated :)
Thank you!
I´m looking for somekind of a test for the fit of a laplace distribution i.e. whether the estimated error structure follows the laplace distribution. It´s easy for the normal distribution with the jarque-bera, but I´m not quite sure how to get one done for a laplace distribution = GED with fixed parameter of 1. I´ve scavanged the net but dont seem to get a hold of the subject. The exponential distribution EDF-test in Eviews is I guess pretty close but I would need the double exponential distribution test...
Any help would be appreciated :)
Thank you!