Distribution-free goodness-of-fit tests for the Pareto distribution based on a characterization

• DOI: 10.1007/s00180-021-01126-y
• Publication Date: 2021-07-14T09:03:01Z
• Authors: James Allison; Bojana Milošević; Marko Obradović; Marius Smuts
• Keywords: Goodness of fit; Characterization

We propose three new classes of goodness-of-fit tests for the Pareto type I distribution based on a characterization. The asymptotic null distribution for the tests are derived and their Bahadur efficiencies are compared to the efficiencies of some of the existing tests. It is found that the new integral type test has superior local efficiencies amongst the new tests, and in general, has higher efficiencies than the competing tests considered. The finite-sample performance of the newly proposed tests is evaluated and compared to that of other existing tests by means of a Monte Carlo study. It is found that the new tests (especially the integral type tests) perform favourably compared to the other tests.