Goodness-of-fit tests for Pareto distribution based on a characterization and their asymptotics

DOI10.1080/02331888.2014.919297MaRDI QIDQ3462136zbMATH OpenOpenAlexFDO

Authors Marko Obradović, Milan V. Jovanović, B. Milošević

Publication date 4 January 2016

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.5510

zbMATH Keywords

Pareto distribution\(U\)-statisticsgoodness-of-fit testBahadur efficiency

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Abstract: In this paper we present a new characterization of Pareto distribution and consider goodness of fit tests based on it. We provide an integral and Kolmogorov- Smirnov type statistics based on U-statistics and we calculate Bahadur efficiency for various alternatives. We find locally optimal alternatives for those tests. For small sample sizes we compare the power of those tests with some common goodness of fit tests.

Recommendations

• Goodness-of-fit tests for the Pareto distribution based on its characterization
• On asymptotic efficiency of goodness of fit tests for Pareto distribution based on characterizations
• Distribution-free goodness-of-fit tests for the Pareto distribution based on a characterization
• A review of goodness of fit tests for Pareto distributions
• Characterization and goodness-of-fit test of Pareto and some related distributions based on near-order statistics
• New goodness-of-fit tests for Pareto I type distribution, based on some characterization
• New goodness-of-fit tests for Pareto distributions
• scientific article; zbMATH DE number 7148821
• Entropy-based goodness-of-fit tests for the Pareto I distribution

Cites work

• A Characterization Based on the Absolute Difference of Two I. I. D. Random Variables
• A Class of Statistics with Asymptotically Normal Distribution
• Approximation theorems of mathematical statistics
• Bahadur efficiency of a test of exponentiality based on a loss-of-memory type functional equation
• Characterizations of probability distributions. A unified approach with an emphasis on exponential and related models
• Convergence of a class of empirical distribution functions of dependent random variables
• Goodness-of-fit tests for exponentiality based on a loss-of-memory type functional equation
• Large deviations of U-empirical Kolmogorov-Smirnov tests and their efficiency
• Local Asymptotic Bahadur Optimality and Characterization Problems
• New goodness-of-fit tests for Pareto distributions
• ON A CLASS OF SKEW DISTRIBUTION FUNCTIONS
• On a multivariate Pareto distribution
• Parameter Estimation for the Truncated Pareto Distribution
• Rates of Convergence of Estimates and Test Statistics
• Realistic Statistical Modelling of Financial Data
• Testing exponentiality based on characterizations of the exponential distribution

Cited in

(26)

• scientific article; zbMATH DE number 6951363 (Why is no real title available?)
• Distribution-free goodness-of-fit tests for the Pareto distribution based on a characterization
• Testing for the Pareto type I distribution: a comparative study
• Goodness-of-fit tests for the power function distribution based on the Puri-Rubin characterization and their efficiences
• To impute or to adapt? Model specification tests' perspective
• Goodness-of-fit tests based on characterization of uniformity by the ratio of order statistics, and their efficiency
• A new omnibus test of fit based on a characterization of the uniform distribution
• On classes of consistent tests for the Type I Pareto distribution based on a characterization involving order statistics
• New goodness-of-fit tests for Pareto I type distribution, based on some characterization
• Two-dimensional Kolmogorov-type goodness-of-fit tests based on characterisations and their asymptotic efficiencies
• Asymptotic properties of inverse probability of censored weighted U-empirical process for right-censored data with applications
• Characterization and goodness-of-fit test of Pareto and some related distributions based on near-order statistics
• Entropy-based goodness-of-fit tests for the Pareto I distribution
• Asymptotic efficiency of goodness-of-fit tests based on Too–Lin characterization
• A review of goodness of fit tests for Pareto distributions
• A goodness-of-fit statistic for Pareto-type behaviour
• Asymptotic efficiency of new distribution-free tests of symmetry for generalized skew alternatives
• Graphical representations and associated goodness-of-fit tests for Pareto and log-normal distributions based on inequality curves
• A LAN based Neyman smooth test for Pareto distributions
• On asymptotic efficiency of goodness of fit tests for Pareto distribution based on characterizations
• Goodness-of-fit tests for the Pareto distribution based on its characterization
• scientific article; zbMATH DE number 7148821 (Why is no real title available?)
• Characterization-based approach for construction of goodness-of-fit test for Lévy distribution
• New goodness-of-fit tests for Pareto distributions
• A characterization of the Pareto distribution based on the Fisher information for censored data under non-regularity conditions
• A unified approach of testing for discrete and continuous Pareto laws

This page was built for publication: Goodness-of-fit tests for Pareto distribution based on a characterization and their asymptotics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3462136)