CITAN (version 2011.02-1)

pareto2.goftest: Goodness-of-fit test for the Pareto-II distribution

Description

Performs goodness-of-fit test for the Pareto-II distribution basing on MMSE estimates (Zhang, Stevens, 2009) and the Anderson-Darling or Kolmogorov test.

Usage

pareto2.goftest(x, alternative=c("two.sided", "less", "greater"),
    method=c("anderson-darling", "kolmogorov"))

Arguments

x

a numeric vector of data values.

alternative

indicates the alternative hypothesis and must be one of "two.sided" (default), "less", or "greater".

method

either "anderson-darling" or "kolmogorov".

Value

• The list of class htest with the following components is passed as a result: ll{ statistic the value of the test statistic. p.value the p-value of the test. alternative a character string describing the alternative hypothesis. method a character string indicating what type of test was performed. data.name a character string giving the name(s) of the data. }

Details

This method, proposed by Zhang and Stevens (2009), uses either the function ad.test from package ADGofTest or ks.test to compute the selected test. It bases on bayesian MMS estimators, see pareto2.zsestimate.

References

Zhang J., Stevens M.A., A New and Efficient Estimation Method for the Generalized Pareto Distribution, Technometrics 51(3), 2009, 316-325.

See Also

dpareto2, pareto2.zsestimate, ks.test, ad.test from package ADGofTest