A review of goodness of fit tests for Pareto distributions (Q2315827)

Content: As the title states, the article gives a review on Pareto distributions focusing on goodness of fit tests. After an introduction of the generalized Pareto distribution (GPD) and the Pareto type I (PI) and type II (PII) distributions, estimators for the corresponding parameters are recapitulated as preliminaries. This is followed by a discussion of 21 different goodness of fit tests of which eleven are for the GPD, eight for PI and two for PII. After discussing some additional variations, the article closes with a simulation study addressing the power of the tests. Potential readership: The review will be interesting for anyone with a background in mathematical statistics and an interest in the Pareto distribution(s), as well as for applied scientist working with these distributions. However, note that there may be some typos. For instance at the end of the introduction, it is stated that PII reduces to PI if \(\mu=0\). I think the condition should be \(\mu=sigma\). Moreover, comparing the survival function of PII with \(\mu=sigma\) to that of PI suggests that the parameter \(\beta\) in PI corresponds to \(1/\beta\) in PII, which means the parameterization is different.