Template-Type: ReDIF-Paper 1.0
Author-Name: Koning, A.J.
Author-Name-Last: Koning
Author-Name-First: Alex
Author-Name: Peng, L.
Author-Name-Last: Peng
Author-Name-First: Liang
Title: Goodness-of-fit tests for a heavy tailed distribution
Abstract: 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.
Creation-Date: 2005-11-07
File-URL: https://repub.eur.nl/pub/7031/EI200544.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2005-44
Keywords: Bahadur efficiency, heavy tail, tail index
Handle: RePEc:ems:eureir:7031