Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148845 | Journal of Statistical Planning and Inference | 2006 | 41 Pages |
Abstract
Weighted approximations to the tail of the distribution function and its empirical counterpart are derived which are suitable for applications in extreme value statistics. The approximation of the tail empirical distribution function is then used to develop an Anderson–Darling type test of the null hypothesis that the distribution function belongs to the domain of attraction of an extreme value distribution.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Holger Drees, Laurens de Haan, Deyuan Li,