Goodness-of-fit tests for a heavy tailed distribution |
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| Authors: | Alex J. Koning Liang Peng |
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| Affiliation: | 1. Econometric Institute, Erasmus University Rotterdam, The Netherlands;2. School of Mathematics, Georgia Institute of Technology, Atlanta GA 30332-0160, USA |
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| Abstract: | We study the Kolmogorov–Smirnov test, Berk–Jones test, score test and their integrated versions in the context of testing the goodness-of-fit of a heavy tailed distribution function. A comparison of these tests is conducted via Bahadur efficiency and simulations. |
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| Keywords: | primary 62G30 62G32 secondary 62G10 |
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