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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2020 Volume 495, Pages 237–249 (Mi znsl7006)

New goodness-of-fit tests for Pareto I type distribution, based on a characterization

I. A. Ragozin

National Research University "Higher School of Economics", St. Petersburg Branch

Abstract: In this paper we construct two new goodness-of-fit tests for Pareto I type distribution family with an arbitrary shape-parameter $\lambda$, based on the new received characterization. We describe their limiting distributions, calculate local Bahadur efficiencies under close alternatives and perform asymptotic comparison of our test statistics.

Key words and phrases: characterization, Pareto I type distribution, $U$-statistics, Bahadur efficiency, large deviations, Kullback–Liebler information.

Received: 05.10.2020



© Steklov Math. Inst. of RAS, 2024