Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis

DOI10.1080/03610920601034148MaRDI QIDQ3436027zbMATH OpenOpenAlexFDO

Authors

Publication date 8 May 2007

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920601034148

zbMATH Keywords

empirical Laplace transformextreme eventsgoodness-of-fit testtables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Recommendations

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Cites work

• A new approach to goodness-of-fit testing based on the integrated empirical process^*
• A simple test for normality against asymmetric alternatives
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Efficient and robust estimation for the one-sided stable distribution of index \({1}/{2}\)
• Empirical Transform Estimation for Indexed Stochastic Models
• Goodness-of-fit tests and model validity. Papers from the international conference, Paris, France, May 29--31, 2000
• Goodness-of-fit tests for the inverse Gaussian distribution based on the empirical Laplace transform
• scientific article; zbMATH DE number 1235892 (Why is no real title available?)
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 896275 (Why is no real title available?)
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Tests of Fit for Exponentiality based on the Empirical Laplace Transform
• Weak convergence and empirical processes. With applications to statistics

Cited in

(11)

• Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
• Power maps in goodness-of-fit testing
• A review of goodness of fit tests for Pareto distributions
• Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
• Generalised smooth tests for the generalised Pareto distribution
• Fitting the Generalized Pareto Distribution to Data
• A class of goodness-of-fit tests based on transformation
• scientific article; zbMATH DE number 5232088 (Why is no real title available?)
• Goodness-of-fit tests based on the min-characteristic function
• Goodness-of-fit tests and minimum distance estimation via optimal transformation to uniform\-ity
• A bootstrap goodness of fit test for the generalized Pareto distribution

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