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arXiv · 1806.01956

Distribution free goodness of fit tests for regularly varying tail distributions

Thuong Nguyen
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Abstract

We discuss in this paper a possibility of constructing a whole class of asymptotic distribution-free tests for testing regularly varying tail distributions. The idea is that we treat the tails of distributions as members of a parametric family and using MLE to estimate the exponent. No matter what the exponent's estimator is, we are able to transform the whole class into a specific distribution with a prefix exponent so that we are free from choosing any functional of the tail empirical process as a distribution-free test statistic. The asymptotic behavior of some new tests, as examples from the whole class of new tests, are demonstrated as well.

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Thuong Nguyen. 2018-06-05. Distribution free goodness of fit tests for regularly varying tail distributions. https://arxiv.org/abs/1806.01956

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