Abstract
We show that weighted versions of recent correlation tests do not require light underlying tails. We formulate a general theorem concerning the asymptotic null distribution of weighted correlation test statistics for scale families, and demonstrate that the resulting tests may work not only for all Weibull scale families, but, with suitable choices of the weight functions, even for all Pareto scale families, in each of which the scale varies the left endpoint of the distribution.
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Research supported in part by the Hungarian National Foundation for Scientific Research, Grants T-032025 and T-034121
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Csörgö, S. Weighted correlation tests for scale families. Test 11, 219–248 (2002). https://doi.org/10.1007/BF02595737
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DOI: https://doi.org/10.1007/BF02595737
Key Words
- Asymptotic distributions
- goodness of fit
- general scale families
- Pareto and Weibull scale families
- weighted correlation tests
- weighted Wasserstein distances