Goodness-of-fit tests for a heavy tailed distribution
2005-11-07
Research Paper
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For testing whether a distribution function is heavy tailed, we study the Kolmogorov test, Berk-Jones test, score test and their integrated versions. A comparison is conducted via Bahadur efficiency and simulations. The score test and the integrated score test show the best performance. Although the Berk-Jones test is more powerful than the Kolmogorov-Smirnov test, this does not hold true for their integrated versions; this differs from results in \\citet{EinmahlMckeague2003}, which shows the difference of Berk-Jones test in testing distributions and tails.
Keywords
Automatically Extracted Terms
- distribution
- statistic
- x -1/
- value
- -1/
- table
- level 0.95
- berk-jones test
- reference
- log p 0
- pareto distribution
- hypothesis
- theorem
- test statistics
- 1.5
- figure
- bahadur
- proof
- 0.5
- lim inf k
