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A Test for Extreme Value Domain of Attraction

 

作者: A.M. Hasofer,   Z. Wang,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1992)
卷期: Volume 87, issue 417  

页码: 171-177

 

ISSN:0162-1459

 

年代: 1992

 

DOI:10.1080/01621459.1992.10475189

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A simple statistic is proposed to test the hypothesis that a sample comes from a distribution in the domain of attraction of the Gumbel distribution. It is based on the topkorder statistics and is a generalization of the Shapiro–Wilk goodness-of-fit statistic. The critical region of the test and its power against the alternative that the sample comes from a distribution in another domain of attraction are studied theoretically and by simulation. The power turns out to be superior to that of other tests previously proposed.

 

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