A review of goodness of fit tests for Pareto distributions

Research output: Contribution to journalArticlepeer-review

  • Authors:
  • J. Chu
  • O. Dickin
  • S. Nadarajah

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.

Bibliographical metadata

Original languageEnglish
Pages (from-to)13-41
Number of pages29
JournalJournal of Computational and Applied Mathematics
Volume361
Early online date19 Apr 2019
DOIs
Publication statusPublished - 1 Dec 2019