gnFit - Goodness of Fit Test for Continuous Distribution Functions
Computes the test statistic and p-value of the Cramer-von
Mises and Anderson-Darling test for some continuous
distribution functions proposed by Chen and Balakrishnan (1995)
<http://asq.org/qic/display-item/index.html?item=11407>. In
addition to our classic distribution functions here, we
calculate the Goodness of Fit (GoF) test to dataset which
follows the extreme value distribution function, without
remembering the formula of distribution/density functions.
Calculates the Value at Risk (VaR) and Average VaR are another
important risk factors which are estimated by using well-known
distribution functions. Pflug and Romisch (2007, ISBN:
9812707409) is a good reference to study the properties of risk
measures.
