R'emy Chicheportiche, Jean-Philippe Bouchaud
Accurate Goodness of Fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance and finance. We have derived exact asymptotic results for a generalization of the Kolmogorov-Smirnov test, well suited to test these extreme tails. In passing, we have rederived and made more precise the result of [P. L. Krapivsky and S. Redner, Am. J. Phys. 64(5):546, 1996] concerning the survival probability of a diffusive particle in an expanding cage.
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http://arxiv.org/abs/1207.7308
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