edftests.m

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach" by Rafa&#322 Weron, p

function [A2,D]=edftests(x,params,dist);
%EDFTESTS Empirical distribution function (edf) goodness-of-fit statistics.
%	[A2,D]=EDFTESTS(X,PARAMS,DIST) computes the Anderson-Darling A2 and
%   Kolmogorov (Kolmogorov-Smirnov) D goodness-of-fit statistics for data 
%   vector X and a vector of estimated parameters PARAMS of distribution 
%   DIST ('Gaussian', 'hyperbolic', 'NIG', 'stable'). 
%
%   Reference(s):
%   [1] R.B.D扐gostino, M.A.Stephens (1986) "Goodness-of-Fit Techniques", 
%   Marcel Dekker, New York.
%   [2] K.Burnecki, A.Misiorek, R.Weron (2005) "Loss distributions", in 
%   "Statistical Tools for Finance and Insurance", P.Cizek, W.Haerdle, 
%   R.Weron (eds), Springer, Berlin, pp. 289