Application of the Kolmogorov-Smirnov Test to Estimate the Threshold When Estimating the Extreme Value Index

被引：3

作者：

van Zyl, J. Martin ^{[1
]}

机构：

[1] Univ Orange Free State, Dept Math Stat & Actuarial Sci, Bloemfontein, South Africa

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2011年 / 40卷 / 02期

关键词：

Extreme value index; Kolmogorov-Smirnov test; Pareto model;

D O I：

10.1080/03610918.2010.533227

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：

The Pareto distribution model assumption in the peaks over threshold method, will be tested by making using of the Kolmogorov-Smirnov goodness of fit method. Pareto distributed variables can be transformed to exponential, and the test will be for exponentiality. It was found that the statistic can be used as an indication of where to choose the threshold and to check the Pareto model assumption.

引用

页码：211 / 219

页数：9