On Procedures for Testing the Equivalence of Distribution Tailsстатья
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Аннотация:We propose a method for testing the hypothesis about the equivalence of the distribution tail ofobserved data and a certain distribution tail, which is the analogue of the goodness-of-fit hypothesis for statistics of extremes. The method is based on a new data transformation moving k largest order statistics of a sample from the standard uniform distribution U[0,1] to random variables asymptotically similar to a sample of size k from U[0,1]. We prove that tests built by applying the proposed method are consistent on the widest alternative, specifically, on the negation of the null hypothesis.