This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 250
Type: Contributed
Date/Time: Monday, August 2, 2010 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistics and the Environment
Abstract - #309072
Title: Properties and Applications of a Graphical Self-Similarity Test
Author(s): Rakhee Patel*+
Companies: University of California, Los Angeles
Address: , , ,
Keywords: Pareto distribution ; self-similarity ; tapered Pareto distribution ; model selection
Abstract:

The Pareto distribution has long been used to model a wide variety of phenomena, including stock price changes, wildfire sizes and earthquake seismic moments. Recent observations have brought the fit of the Pareto into question, however, particularly in the upper tail. We propose a graphical self-similarity test specifically designed to assess whether a Pareto distribution fits better than a tapered Pareto or another heavy-tailed alternative. Unlike some model selection methods, this graphical test provides the advantage of determining where the model fits well and breaks down. In this paper, we will examine theoretical properties of the graphical test, particularly the power under various alternative hypotheses such as the tapered Pareto and exponential distributions. Applications of the test to financial, wildfire and earthquake data will be considered.


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