New goodness of fit tests for the Pareto distribution using Stein’s characterization for uncensored and random right censored data

Deepesh Bhati, Apostolos Batsidis and Sakshi Khandelwal

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 24, 7865-7889

Abstract: Based on Stein’s method, we propose a new test for the Pareto type I distribution. The proposed test, initially defined for the full sample case, is appropriately modified in order to deal with randomly right-censored observations. The finite-sample performance of the new tests is numerically assessed through an extensive simulation experiment, including comparisons with other existing tests. In many cases, the novel tests either outperform or match the performance of existing ones. Real data applications, including uncensored and censored data, are considered for illustrative purposes.

Date: 2025
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DOI: 10.1080/03610926.2025.2483973

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