Testing the Gumbel hypothesis via the Pot-method

DOI10.1023/A:1009910806693MaRDI QIDQ1297902zbMATH OpenFDO

Authors Frank Marohn

Publication date 14 September 1999

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1009910806693

zbMATH Keywords

exceedances over thresholdGumbel distributionlocal alternativeslocal asymptotic normality

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Nonparametric hypothesis testing (62G10)

Review text

The hypothesis \(H_0\) is tested that the distribution function \(F\) of an i.i.d. sample \(X_1\),\dots, \(X_n\) belongs to the extremal domain of attraction of the Gumbel distribution \(G_0(x)=\exp(-e^{-x})\). The alternative is that \(F\) belongs to the domain of attraction of the Fréchet or the Weibull distribution. The test is based on the point process \(N_{n,t_n}\) of the exceedances over a given threshold \(t_n\). Local asymptotic normality of the \(H_0\) testing problem by \(N_{n,t_n}\) with local alternatives is demonstrated in the case when \(t_n\to\infty\), but not too fast. The asymptotically optimal test sequence of fixed level \(\alpha\) for the two-sided testing problem is constructed and its asymptotic power function is evaluated. Simulation results are presented.

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