TESTING WHETHER THE SHAPE PARAMETER IS ZERO IN THE GENERALIZED EXTREME-VALUE DISTRIBUTION
成果类型：
Article
署名作者：
HOSKING, JRM
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.2307/2336254
发表日期：
1984
页码：
367374
关键词：
摘要：
When a sequence of extreme values of a physical process was observed it is often of interest to test whether the observations are distributed according to a type I Fisher-Tippett extreme-value distribution rather than one of types II or III. This is equivalent to testing whether the shape parameter is zero in the generalized extreme-value distribution. Thirteen tests of this hypothesis are here compared in terms of their empirical significance levels and power in small samples. A modified likelihood ratio test is found to give the best overall performance, and a test due to van Montfort and Otten is also recommended.