Testing for the shape parameter of generalized extreme value distribution based on the L_q-likelihood ratio statistic

DOI10.1007/S00184-012-0409-5zbMATH Open1307.62136OpenAlexW2076749207MaRDI QIDQ2392724FDOQ2392724

Authors: Chao Huang, Jinguan Lin, Yan-Yan Ren 

Publication date: 2 August 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0409-5

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zbMATH Keywords

hypothesis testinggeneralized extreme value distributionbootstrap method\(L_q\)-likelihood ratio statisticmaximum \(L_q\)-likelihood estimate

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (3)

• Penalized Lq-likelihood estimators and variable selection in linear regression models
• Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms
• Sequential probabilistic ratio test for the scale parameter of the \(P\)-norm distribution

Uses Software

• ismev
• QRM
• bootstrap

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