So I am doing research at the moment, and I wish to test out the accuracy of my estimation methods. I'd like to apply a goodness of fit test for my distributions. I was hoping that Matlab would have a native way to do this, or maybe someone already wrote some sort of code for this.
Now my work is as follows: I have a Multivariate Modified Pareto distribution with n observations. After simulating it, I will have a n by m, matrix, where m is the number of Depended-Pareto Random variable.
I'd like to run something like this, only generalized to m-dimensions, or preferably a Kolmogorov-Test.
In so far, with my research I only found a way to do this with Copulas, but its not exactly what I want.
I could write my own code, but I was hoping there is something that has already been written and tested by the community.
So after waiting a while, I ended up writing my own function. If anyone is in need of this, or is interested in contributing, here is my repo https://github.com/asosnovsky/Matlab.Multivariate.Chi.Test