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Journal of Statistical Theory and Practice

, Volume 5, Issue 4, pp 737–750 | Cite as

Generalised Smooth Tests for the Generalised Pareto Distribution

  • B. De Boeck
  • O. Thas
  • J. C. W. Rayner
  • D. J. Best
Article

Abstract

The generalised Pareto distribution (GPD) is often used to model extreme values. New smooth tests of goodness of fit are proposed for this distribution. Typical problems with the GPD are that not all moments exist and not all classical estimation procedures work well over the whole parameter space. The generalised smooth test has good powers within a subset of the parameter space for which other tests may not be defined or appropriate, and, conversely, the Anderson-Darling test performs well when the test proposed here does not.

AMS Subject Classification

62E20 62G10 

Key-words

Goodness of fit Orthonormal polynomials Generalised smooth tests Method of moments 

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Copyright information

© Grace Scientific Publishing 2011

Authors and Affiliations

  • B. De Boeck
    • 1
  • O. Thas
    • 1
  • J. C. W. Rayner
    • 2
  • D. J. Best
    • 3
  1. 1.Department of Mathematical Modelling, Statistics and BioinformaticsGhent UniversityGhentBelgium
  2. 2.Centre for Statistical and Survey Methodology, School of Mathematics and Applied Statistics, University of Wollongong, NSW, Australia & School of Mathematical and Physical SciencesUniversity of NewcastleAustralia
  3. 3.School of Mathematical and Physical SciencesUniversity of NewcastleAustralia

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