Detecting finiteness in the right endpoint of light-tailed distributions

Cláudia Neves and António Pereira

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 437-444

Abstract: In Extreme Value statistics we often encounter testing procedures for assessing the presence of the Gumbel domain, attached to the simple null hypothesis of shape parameter [gamma]=0, thus praising the selection of extreme domains of attraction. However, the problem of assessing for light-tailed distributions with finite or infinite right endpoint is seldom referred. The latter is an impending problem of practical importance, particularly at the enrollment of subsequent estimation of extremal features such as small exceedance probabilities. In this paper, we present two test statistics whose asymptotic behavior, albeit under some restrictive yet reasonable conditions, enables us to distinguish light-tailed distribution functions with finite right endpoint from those with infinite endpoint lying in the Gumbel domain. An illustrative example is provided via application to significant wave height data recorded at Figueira da Foz, Portugal, from 1958 until 2001.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(09)00445-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:80:y:2010:i:5-6:p:437-444

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().