Related papers: Testing for the Pareto type I distribution: A comp…
Two new goodness of fit tests for the Pareto type-I distribution for complete and right censored data are proposed using fixed point characterization based on Steins type identity. The asymptotic distributions of the test statistics under…
We propose new goodness-of-fit tests for the Pareto type I distribution. These tests are based on a multiplicative version of the memoryless property which characterises this distribution. We present the results of a Monte Carlo power study…
In this paper we present a new characterization of 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…
We propose new classes of tests for the Pareto type I distribution using the empirical characteristic function. These tests are $U$ and $V$ statistics based on a characterisation of the Pareto distribution involving the distribution of the…
We employ a general Monte Carlo method to test composite hypotheses of goodness-of-fit for several popular multivariate models that can accommodate both asymmetry and heavy tails. Specifically, we consider weighted L2-type tests based on a…
A general and relatively simple method for construction of multivariate goodness-of-fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions…
We consider the problem of goodness-of-fit testing for a model that has at least one unknown parameter that cannot be eliminated by transformation. Examples of such problems can be as simple as testing whether a sample consists of…
The Zenga (1984) inequality curve is constant in p for Type I Pareto distributions. This characterizing behavior will be exploited to obtain graphical and analytical tools for tail analysis and goodness of fit tests. A testing procedure for…
We propose new goodness-of-fit tests for the Poisson distribution. The testing procedure entails fitting a weighted Poisson distribution, which has the Poisson as a special case, to observed data. Based on sample data, we calculate an…
The discrete Pareto (or Zeta, Zipf) distribution, arises naturally in modeling rank-frequency data across diverse fields such as linguistics, demography, biology, and computer science. Despite its widespread applicability, goodness-of-fit…
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…
Motivated by applications to goodness of fit testing, the empirical likelihood approach is generalized to allow for the number of constraints to grow with the sample size and for the constraints to use estimated criteria functions. The…
In this paper we present the results from an empirical power comparison of 40 goodness-of-fit tests for the univariate Laplace distribution, carried out using Monte Carlo simulations with sample sizes $n = 20, 50, 100, 200$, significance…
A goodness-of-fit test for one-parameter count distributions with finite second moment is proposed. The test statistic is derived from the $L^1$ distance of a function of the probability generating function of the model under the null…
The bivariate Poisson distribution is commonly used to model bivariate count data. In this paper we study a goodness-of-fit test for this distribution. We also provide a review of the existing tests for the bivariate Poisson distribution,…
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…
Pareto distributions, and power laws in general, have demonstrated to be very useful models to describe very different phenomena, from physics to finance. In recent years, the econophysical literature has proposed a large amount of papers…
This paper introduces a novel goodness-of-fit test technique for parametric conditional distributions. The proposed tests are based on a residual marked empirical process, for which we develop a conditional Principal Component Analysis. The…
In this paper, we revisit the classical goodness-of-fit problems for univariate distributions; we propose a new testing procedure based on a characterisation of the uniform distribution. Asymptotic theory for the simple hypothesis case is…
We propose tests of fit for classes of distributions that include the Weibull, the Pareto and the Fr\'echet, distributions. The new tests employ the novel tool of the min--characteristic function and are based on an L2--type weighted…