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Communications in Statistics - Theory and Methods Volume 31, 2002 - Issue 7
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Original Articles

NEYMAN SMOOTH TESTS FOR THE GENERALIZED PARETO DISTRIBUTION

Ouadia Radouane Université Grenoble 2 and LMC/IMAG Tour IRMA BP 53, LABSAD, Grenoble Cedex 9, 38041, France
&
Emmanuelle Crétois Université Grenoble 2 and LMC/IMAG Tour IRMA BP 53, LABSAD, Grenoble Cedex 9, 38041, France
Pages 1067-1078 | Published online: 02 Sep 2006
 
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ABSTRACT

The generalized Pareto distribution (GPD) is commonly used as extreme values's distribution. We present goodness of fit tests for the GPD based on Neyman's smooth tests statistics. The methods of maximum likelihood, moments and probability-weighted moments are used for estimating the GPD's parameters. Simulations are done to study the power of these tests.

Acknowledgments

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