New distribution-free goodness-of-fit tests for the Pareto distribution

Abstract

Three new classes of goodness-of-fit tests for the Pareto type I distribution are proposed based on an equidistribution type characterization. The asymptotic null distributions are derived, and the Bahadur efficiencies of the new tests are compared to the efficiencies of some existing tests. The finite-sample behaviour is also studied through extensive power comparison. It is found that the integral type test performs the best among the new tests and that it also performs favourably in comparison to competitor tests.