Small-sample one-sided testing in extreme value regression models

DOI10.1007/S10182-015-0251-YMaRDI QIDQ1622019zbMATH OpenOpenAlexWikidataFDO

Authors Silvia L. P. Ferrari, Eliane C. Pinheiro

Publication date 12 November 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.6057

zbMATH Keywords

extreme value regressionGumbel distributionnonlinear modelssigned likelihood ratio testsmall-sample adjustments

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Abstract: We derive adjusted signed likelihood ratio statistics for a general class of extreme value regression models. The adjustments reduce the error in the standard normal approximation to the distribution of the signed likelihood ratio statistic. We use Monte Carlo simulations to compare the finite-sample performance of the different tests. Our simulations suggest that the signed likelihood ratio test tends to be liberal when the sample size is not large, and that the adjustments are effective in shrinking the size distortion. Two real data applications are presented and discussed.

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Cited in

(6)

• On restricted hypotheses in extreme value regression models
• Inference in a bimodal Birnbaum-Saunders model
• Invited article by M. Gidea: Extreme events and emergency scales
• Influence diagnostics and model validation for the generalized extreme-value nonlinear regression model
• Small-sample likelihood inference in extreme-value regression models
• A comparative review of generalizations of the Gumbel extreme value distribution with an application to wind speed data

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