Overweight tails are inefficient

DOI10.1214/AOS/1176348397zbMATH Open0745.62047OpenAlexW2047586628MaRDI QIDQ1184239FDOQ1184239

Authors: Richard A. Lockhart 

Publication date: 28 June 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348397

Recommendations

• Intermediate efficiency of tests under heavy-tailed alternatives
• Analogues of classical goodness-of-fit tests for distribution tails
• Intermediate efficiency of some weighted goodness-of-fit statistics
• Goodness-of-fit tests for a heavy tailed distribution
• scientific article; zbMATH DE number 3921753

zbMATH Keywords

Kolmogorov-Smirnov statisticgoodness-of-fit testsprobability plotsexponential tailscorrelation coefficientcontiguous alternativecorrelation teststail order statisticstests of asymptotic relative efficiencyvariance weighted Kolmogorov-Smirnov statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Cited In (9)

• Goodness of fit tests in terms of local levels with special emphasis on higher criticism tests
• Comparing distributions by multiple testing across quantiles or CDF values
• Contributions of empirical and quantile processes to the asymptotic theory of goodness-of-fit tests. (With comments)
• Likelihood-ratio tests for normality
• On Goodness of Fit for Operational Risk
• Efficient inference about the tail weight in multivariate Student \(t\) distributions
• Intermediate efficiency of some weighted goodness-of-fit statistics
• Weighted correlation tests for scale families.
• A weighted Kuiper statistic for goodness of fit

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