A goodness-of-fit statistic for Pareto-type behaviour

摘要

The fit of a statistical model can be visually assessed by inspection of a quantile–quantile or QQ plot. For the strict Pareto distribution, since log-transformed Pareto random variables are exponentially distributed, it is natural to consider an exponential quantile plot based on the log-transformed data. In case the data originate from a Pareto-type distribution, the Pareto quantile plot will be linear but only in some of the largest observations. In this paper we modify the Jackson statistic, originally proposed as a goodness-of-fit statistic for testing exponentiality, in such a way that it measures the linearity of the k largest observations on the Pareto quantile plot. Further, by taking the second-order tail behaviour of a Pareto-type model into account we construct a bias-corrected Jackson statistic. For both statistics the limiting distribution is derived. Next to these asymptotic results we also evaluate the small sample behaviour on the basis of a simulation study. The method is illustrated on two practical case studies.