Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
A note on the Berkowitz test with discrete distributions
Alfred Hamerle and Kilian Plank
Abstract
ABSTRACT
Berkowitz (2001) suggested a powerful and popular density test based on a probability integral transformation. For the probability integral transformation to work properly the original distribution needs to be continuous. In this paper we show the problems that can arise when the procedure is applied to discrete distributions. We suggest a simple modification so that the basic assumptions of the Berkowitz test are recovered.
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