Goodness-of-fit tests for a heavy tailed distribution

Alex Koning and Liang Peng

No EI 2005-44, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: For testing whether a distribution function is heavy tailed, we study the Kolmogorov test, Berk-Jones test, score test and their integrated versions. A comparison is conducted via Bahadur efficiency and simulations. The score test and the integrated score test show the best performance. Although the Berk-Jones test is more powerful than the Kolmogorov-Smirnov test, this does not hold true for their integrated versions; this differs from results in \\citet{EinmahlMckeague2003}, which shows the difference of Berk-Jones test in testing distributions and tails.

Keywords: Bahadur efficiency; heavy tail; tail index (search for similar items in EconPapers)
Date: 2005-11-07
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Citations: View citations in EconPapers (1)

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