Journal of Operational Risk

Risk.net

Improved goodness-of-fit measures

Peter Mitic

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.

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