Tests of fit for the Gumbel distribution: EDF-based tests against entropy-based tests

Hadi Alizadeh Noughabi and Jalil Jarrahiferiz

Journal of Applied Statistics, 2020, vol. 47, issue 10, 1885-1900

Abstract: In this article, we propose some tests of fit based on sample entropy for the composite Gumbel (Extreme Value) hypothesis. The proposed test statistics are constructed using different entropy estimates. Through a Monte Carlo simulation, critical values of the test statistics for various sample sizes are obtained. Since the tests based on the empirical distribution function (EDF) are commonly used in practice, the power values of the entropy-based tests with those of the EDF tests are compared against various alternatives and different sample sizes. Finally, two real data sets are modeled by the Gumbel distribution.

Date: 2020
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DOI: 10.1080/02664763.2019.1698522

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