Testing for tail behavior using extreme spacings

Details Testing for tail behavior using extreme spacings Testing for tail behavior using extreme spacings

2010-11-30

arxiv.org/abs/1011.6458v1

Mathematics

Statistics Theory

25 pages, 6 figures

Scientific paper

Methodologies to test hypotheses about the tail-heaviness of an underlying distribution are introduced based on results of Rojo (1996) using the limiting behavior of the extreme spacings. The tests are consistent and have point-wise robust levels in the sense of Lehmann (2005) and Lehmann and Loh (1990). Simulation results based on these new methodologies indicate that the tests exhibit good control of the probability of Type I error and have good power properties for finite sample sizes. The tests are compared with a test proposed by Bryson (1974) and it is seen that, although Bryson's test is competitive with the tests proposed here, Bryson's test does not have point-wise robust levels. The operating characteristics of the tests are also explored when the data is blocked. It turns out that the power increases substantially by blocking. The methodology is illustrated by analyzing various data sets.

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