Séminaire de Probabilités et Statistique :

Le 19 novembre 2007 à 10:30 - UM2 - Bât 09 - Salle 331 (3ème ét.)

Présentée par Toulemonde Gwladys - Université Montpellier II

"A LAN Based Neyman Smooth Test for Pareto Distributions"

The Pareto distribution is found in a large number of real world situations and is also a well-known model for extreme events. In the spirit of Neyman (1937) and Thomas and Pierce (1979), we propose a smooth goodness of fit test for the Pareto distribution family which is motivated by LeCam's theory of local asymptotic normality (LAN). We establish the behavior of the associated test statistic firstly under the null hypothesis that the sample follows a Pareto distribution and secondly under local alternatives using the LAN framework. Finally, simulations are provided en order to study the finite sample behavior of the test statistic.