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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