A review of goodness of fit tests for Pareto distributions

J. Chu; O. Dickin; S. Nadarajah

doi:10.1016/j.cam.2019.04.018

A review of goodness of fit tests for Pareto distributions

J. Chu, O. Dickin, S. Nadarajah^*

^*Corresponding author for this work

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Abstract

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.

Original language	English
Pages (from-to)	13-41
Number of pages	29
Journal	Journal of Computational and Applied Mathematics
Volume	361
Early online date	19 Apr 2019
DOIs	https://doi.org/10.1016/j.cam.2019.04.018
Publication status	Published - 1 Dec 2019

Keywords

Economics
Finance
Power
Simulation

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paretotestpaperAccepted author manuscript, 406 KBLicence: CC BY-NC-ND

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AB - 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.

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KW - Finance

KW - Power

KW - Simulation

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A review of goodness of fit tests for Pareto distributions

Abstract

Keywords

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