Testing extreme value conditions

DOI10.1023/A:1020934126695zbMath1035.60050OpenAlexW4231486800MaRDI QIDQ1424668

Daniel Dietrich, Juerg Hüsler, Laurens De Haan

Publication date: 16 March 2004

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020934126695

zbMATH Keywords

asymptotic distributiongoodness-of-fitCramer-von Mises test statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (20)

Extreme value analysis of actuarial risks: estimation and model validation ⋮ Unnamed Item ⋮ Maximum likelihood estimators based on the block maxima method ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ A software review for extreme value analysis ⋮ Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition ⋮ Extremal dependence analysis of network sessions ⋮ On testing extreme value conditions ⋮ On Tests for Distinguishing Distribution Tails ⋮ Testing for a \(\delta \)-neighborhood of a generalized Pareto copula ⋮ Looking for max-semistability: a new test for the extreme value condition ⋮ Goodness-of-fit testing for Weibull-type behavior ⋮ Approximations to the tail empirical distribution function with application to testing extreme value conditions ⋮ Modeling rare events through a \(p\)RARMAX process ⋮ Tail expectile process and risk assessment ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan ⋮ Testing asymptotic independence in bivariate extremes ⋮ A goodness-of-fit statistic for Pareto-type behaviour ⋮ Penultimate approximations in statistics of extremes and reliability of large coherent systems ⋮ Extremes of scale mixtures of multivariate time series

This page was built for publication: Testing extreme value conditions