Goodness-of-fit tests for a heavy tailed distribution

@inproceedings{Koning2005GoodnessoffitTF,
  title={Goodness-of-fit tests for a heavy tailed distribution},
  author={Alex Koning and Liang Peng},
  year={2005}
}
We study the Kolmogorov-Smirnov test, Berk-Jones test, score test and their integrated versions in the context of testing the goodness-of-fit of a heavy tailed distribution function. A comparison of these tests is conducted via Bahadur efficiency and simulations. In the 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… CONTINUE READING

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