A class of tests on the tail index
type: Item
instance of: scholarly article
title: A class of tests on the tail index
zbMATH Open document ID: 1008.62045
DOI: 10.1023/A:1013925226836
author: Jan Picek
author: Jana Jurečková
published in: Extremes
publication date: 2002-11-21T00:00:00Z
review text: For the i.i.d. sample with d.f. \(F(x)\) a nonparametric test is proposed for the null hypothesis \(H_m:\;x^m(1-F(x))\geq 1\quad\forall x>x_0\) for some \(x_0>0\) with a given \(m>0\), against the alternative \(K_m:\lim\sup_{x\to\infty} x^m(1-F(x))<1\). The test is based on the empirical d.f. of maxima by subsamples. The asymptotic normality of the test statistics and consistency of the test are demonstrated. The test performance is compared with parametric tests via simulations.
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 1833864
zbMATH Keywords: exponential tails
zbMATH Keywords: domain of attraction
zbMATH Keywords: likelihood ratio test
zbMATH Keywords: asymptotic normality
zbMATH Keywords: consistency
MaRDI profile type: Publication
full work available at URL: a:1013925226836
OpenAlex ID: W52185242
description: scientific article; zbMATH DE number 1833864