On asymptotic efficiency of goodness-of-fit tests for the Pareto distribution based on its characterization

2014/08/20 by K. Yu. Volkova, Volkova, K. Yu.
Decision Sciences · Mathematics · #Probability and Risk Models #Risk and Portfolio Optimization #Statistical Distribution Estimation and Applications

paper · pdf · doi:10.48550/arxiv.1408.4527

Abstract

We introduce a new characterization of Pareto distribution and construct integral and supremum type goodness-of-fit tests based on it. Limiting distribution and large deviations of new statistics are described and their local Bahadur efficiency for parametric alternatives is calculated. Conditions of local optimality of new statistics are given.

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