Testing for a multivariate generalized Pareto distribution
A goodness-of-fit test is proposed for testing the hypothesis that an observed sample is taken from a multivariate generalized Pareto distribution (GPD) with uniform margins. The test is based on an exceedance-over-threshold statistic which has a nearly Student-t distribution under \(H_0\). Asymptotics of the statistic under alternatives are investigated. The small sample behaviour of the test is analyzed by simulated data. The test is applied to the threshold selection rule development in multivariate PoT (peak-over-threshold) models. An application to a hydrological data set is presented.
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