Distribution free goodness of fit tests for regularly varying tail distributions

Abstract

We discuss in this paper a possibility of constructing a whole class of asymptotic distribution-free tests for testing regularly varying tail distributions. The idea is that we treat the tails of distributions as members of a parametric family and using MLE to estimate the exponent. No matter what the exponent's estimator is, we are able to transform the whole class into a specific distribution with a prefix exponent so that we are free from choosing any functional of the tail empirical process as a distribution-free test statistic. The asymptotic behavior of some new tests, as examples from the whole class of new tests, are demonstrated as well.