Chi-Square Test
Also called: chi squared test, goodness of fit test, test of independence
A chi-square test compares observed counts with expected counts, either to test whether a distribution fits or whether two categorical variables are independent. In risk management it's the basis of VaR backtesting: if your 99% VaR is right, exceedances should occur about 1% of the time, and a chi-square test says whether the observed count is too high to be luck.
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