A statistical test procedure for the shape parameter of a generalized Pareto distribution

被引：12
|
作者：
Chaouche, A
Bacro, JN
机构：
[1] ENGREF, GRESE, F-75732 Paris 15, France
[2] Univ Montpellier 2, Lab Probabil & Stat, F-34095 Montpellier 5, France
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2004年 / 45卷 / 04期
关键词：
generalized Pareto distribution; probability weighted moment; maximum likelihood ratio test; small sample size;
D O I：
10.1016/S0167-9473(03)00087-2
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A general procedure for deriving statistical tests on the shape parameter of a generalized Pareto distribution (GPD) Gxibeta is proposed. From the existence condition of the GPD, statistics which discriminate between possible xi values can be derived by elimination of the beta parameter through a probability weighted moment (PWM) approach. The test statistics used are independent of the beta value and related to the chosen PWM approach. Two particular statistics are considered and a simulation study shows how the proposed procedure outperforms the classical maximum likelihood ratio test for small sample sizes. (C) 2003 Elsevier B.V. All rights reserved.
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页码：787 / 803
页数：17
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