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Technometrics Volume 43, 2001 - Issue 4
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Primary Article

Goodness-of-Fit Tests for the Generalized Pareto Distribution

V Choulakian Department of Mathematics and Statistics, Université de Moncton, Moncton, N.B. E1A 3E9, Canada
&
M. A Stephens Department of Statistics and Actuarial Science, Simon Fraser University, Burnaby, B.C. V5A 1S6, Canada
Pages 478-484 | Published online: 01 Jan 2012
 
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Abstract

Tests of fit are given for the generalized Pareto distribution (GPD) based on Cramér–von Mises statistics. Examples are given to illustrate the estimation techniques and the goodness-of-fit procedures. The tests are applied to the exceedances over given thresholds for 238 river flows in Canada; in general, the GPD provides an adequate fit. The tests are useful in deciding the threshold in such applications; this method is investigated and also the closeness of the GPD to some other distributions that might be used for long-tailed data.

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