Goodness-of-fit tests for Pareto distribution based on a characterization and their asymptotics |
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| Authors: | Marko Obradovi? Milan Jovanovi? Bojana Milo?evi? |
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| Institution: | 1. Faculty of Mathematics, University of Belgrade, Studenski trg 16, Belgrade, Serbiamarcone@matf.bg.ac.rs;3. Faculty of Mathematics, University of Belgrade, Studenski trg 16, Belgrade, Serbia |
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| Abstract: | In this paper we present a new characterization of the Pareto distribution and consider goodness-of-fit tests based on it. We provide an integral and Kolmogorov–Smirnov-type statistics based on U-statistics and we calculate Bahadur efficiency for various alternatives. We find locally optimal alternatives for those tests. For small sample sizes, we compare the power of those tests with some common goodness-of-fit tests. |
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| Keywords: | Pareto distribution Bahadur efficiency U-statistics goodness-of-fit test |
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