Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147649 | Journal of Statistical Planning and Inference | 2011 | 16 Pages |
Abstract
To test the extreme value condition, Cramér-Von Mises type tests were recently proposed by Drees et al. (2006) and Dietrich et al. (2002). Hüsler and Li (2006) presented a simulation study on the behavior of these tests and verified that they are not robust for models in the domain of attraction of a max-semistable distribution function. In this work we develop a test statistic that distinguishes quite well distribution functions which belong to a max-stable domain of attraction from those in a max-semistable one. The limit law is deduced and the results from a numerical simulation study are presented.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
LuÃsa Canto e Castro, Sandra Dias, Maria da Graça Temido,