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Abstract

A limit theorem with bounds on the rate of convergence is proven. The joint distribution of a fixed number of relative decrements of the top order statistics from a random sample converges to the limit as the sample size increases if and only if the underlying distribution is in essence a Pareto. In conjunction with a chi-square test of fit, it provides an asymptotically distribution-free test of fit to the family of distributions with regularly varying tails at infinity. When the limit distribution holds, rank-size plots obey Zipf’s law. The test can be used to detect departures from this Zipf–Pareto law.

Keywords  von Mises condition - Regularly varying tail - Asymptotic distribution - Rate of convergence - Chi-square fit - Hill’s estimator - Exponential distribution - Order statistics

AMS 2000 Subject Classification  62G32 - 62G20

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