Abstract

New estimators for the scale parameter of the one‐sided Lévy distribution are proposed, which are used for constructing new classes of goodness‐of‐fit (gof) tests, based on the ratio of two estimators of the scale parameter. A Monte Carlo study examines the performance of the new gof tests in controlling type I error rate and evaluates their power performance. The performance of the new classes of gof test is also compared with existing tests. Finally, the applicability of the new gof tests is illustrated using three real data sets.

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