Modified likelihood ratio tests for extreme value distributions

Hyunseok Seung and Sangun Park

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 16, 5742-5751

Abstract: The modified Anderson-Darling test statistics have been suggested in testing the highly skewed distributions to detect more possible departures in the right (or left) tail. In this paper, we propose the corresponding modified likelihood ratio test statistics, and compare their performances for the Gumbel distribution with the modified Anderson-Darling test statistics. We also provide the approximate critical values for the generalized extreme value distribution and generalized Pareto distribution where the unknown shape parameter is present.

Date: 2023
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DOI: 10.1080/03610926.2021.2018463

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