Goodness-of-fit tests for the generalized Pareto distribution

被引：285

作者：

Choulakian, V ^{[1
]}

Stephens, MA

机构：

[1] Univ Moncton, Dept Math & Stat, Moncton, NB E1A 3E9, Canada

[2] Simon Fraser Univ, Dept Stat & Actuarial Sci, Burnaby, BC V5A 1S6, Canada

来源：

TECHNOMETRICS | 2001年 / 43卷 / 04期

关键词：

exceedances; extreme values; hydrology; threshold selection;

D O I：

10.1198/00401700152672573

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Tests of fit are given for the generalized Pareto distribution (GPD) based on Cramer-von Mises statistics. Examples are given to illustrate the estimation techniques and the goodness-of-fit procedures. The tests are applied to the exceedances over given thresholds for 238 river flows in Canada, in general, the GPD provides an adequate fit. The tests are useful in deciding the threshold in such applications; this method is investigated and also the closeness of the GPD to some other distributions that might be used for long-tailed data.

引用

页码：478 / 484

页数：7

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