Goodness-of-Fit Tests for the Generalized Pareto Distribution

2001/11/01 by Vartan Choulakian, V Choulakian, M. A Stephens +1 · 4 citations
Environmental Science · Economics, Econometrics and Finance · Decision Sciences · #Hydrology and Drought Analysis #Financial Risk and Volatility Modeling #Probabilistic and Robust Engineering Design

paper · doi:10.1198/00401700152672573

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 the closeness of the GPD to some other distributions that might be used for long-tailed data.

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