Goodness-of-Fit Tests for the Generalized Pareto Distribution
Abstract
Tests of fit are given for the generalized Pareto distribution (GPD) based on Cramér–von Mises statistics. Examples are given to illustrate the estimation techniques and the goodness-of-fit procedures. The tests are applied to the exceedances over given thresholds for 238 river flows in Canada; in general, the GPD provides an adequate fit. The tests are useful in deciding the threshold in such applications; this method is investigated and also...
Paper Details
Title
Goodness-of-Fit Tests for the Generalized Pareto Distribution
Published Date
Nov 1, 2001
Journal
Volume
43
Issue
4
Pages
478 - 484
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