JSM 2005 - Toronto

Abstract #303732

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Activity Number: 358
Type: Contributed
Date/Time: Wednesday, August 10, 2005 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #303732
Title: Goodness-of-fit Tests for a Heavy-tailed Distribution
Author(s): Liang Peng*+ and Alex Koning
Companies: Georgia Institute of Technology and Erasmus University Rotterdam
Address: School of Mathematics, Atlanta, GA, 30332-0160, United States
Keywords: Bahadur efficiency ; heavy tail ; tail empirical processes ; tail index
Abstract:

Heavy-tailed distributions have been applied in areas such as population size, random graphs, internet traffic, hydrology, and finance. However, goodness-of-fit testing has not received as much attention as tail index estimation. Here, we study the Kolmogorov test, Berk-Jones test, score test, and their integrated versions for testing whether a distribution is heavy-tailed. A comparison is conducted via Bahadur efficiency and simulations.

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