On discrimination between two close distribution tails

2017/02/18 by I. V. Rodionov, Rodionov, Igor Vladimirovich
Economics, Econometrics and Finance · Mathematics · #62G10 #62N03 #Advanced Statistical Methods and Models #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1702.05641

openalex publication_date 2017/02/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The goodness-of-fit test for discrimination of two tail distribution using higher order statistics is proposed. The consistency of proposed test is proved for two different alternatives. We do not assume belonging the corresponding distribution function to a maximum domain of attraction.

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