A review of goodness of fit tests for Pareto distributions

被引：17

作者：

Chu, J. ^{[1
]}

Dickin, O. ^{[1
]}

Nadarajah, S. ^{[1
]}

机构：

[1] Univ Manchester, Sch Math, Manchester, Lancs, England

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2019年 / 361卷

关键词：

Economics; Finance; Power; Simulation; CRAMER-VON-MISES; KOLMOGOROV-SMIRNOV; ROBUSTNESS;

D O I：

10.1016/j.cam.2019.04.018

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Pareto distributions are the most popular models in economics and finance. Hence, it is essential to have a wide spectrum of tools for checking their goodness of fit to a given data set. This paper provides the first review of known goodness of fit tests for Pareto distributions. Over twenty tests are reviewed. Their powers are compared by simulation. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：13 / 41

页数：29

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