A bootstrap goodness of fit test for the generalized Pareto distribution

José A. Villaseñor-Alva and Elizabeth González-Estrada

Computational Statistics & Data Analysis, 2009, vol. 53, issue 11, 3835-3841

Abstract: This paper proposes a bootstrap goodness of fit test for the Generalized Pareto distribution (GPd) with shape parameter [gamma]. The proposed test is an intersection-union test which tests separately the cases of [gamma]>=0 and [gamma]

Keywords: Intersection-union; tests; Parametric; bootstrap; Parameter; estimation; Asymptotic; maximum; likelihood; estimation; Ozone; data (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:53:y:2009:i:11:p:3835-3841

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