A bootstrap goodness of fit test for the generalized Pareto distribution

DOI10.1016/J.CSDA.2009.04.001MaRDI QIDQ961867zbMATH OpenOpenAlexFDO

Authors José A. Villaseñor-Alva, Elizabeth González-Estrada

Publication date 1 April 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2009.04.001

zbMATH Keywords

parameter estimationparametric bootstrapasymptotic maximum likelihood estimationintersection-union testsozone data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 46578 (Why is no real title available?)
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• Approximate distributions of order statistics. With applications to nonparametric statistics
• Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis
• Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• Statistical inference using extreme order statistics
• Sur la distribution limite du terme maximum d'une série aléatoire

Cited in

(18)

• A statistical test procedure for the shape parameter of a generalized Pareto distribution
• scientific article; zbMATH DE number 7765977 (Why is no real title available?)
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• Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test
• NEYMAN SMOOTH TESTS FOR THE GENERALIZED PARETO DISTRIBUTION
• gPdtest
• An R package for testing goodness of fit: goft
• A double generalized Pareto distribution
• Testing for trends in excesses over a threshold using the generalized Pareto distribution
• Data breaches: goodness of fit, pricing, and risk measurement
• Generalised smooth tests for the generalised Pareto distribution
• Statistical performance of local attractor dimension estimators in non-axiom a dynamical systems
• Sampling from the \(\mathcal{G}_I^0\) distribution

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