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On testing extreme value conditions

Hüsler, Jürg ; Li, Deyuan

In: Extremes, 2006, vol. 9, no. 1, p. 69-86

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    Titre
    • On testing extreme value conditions
    Auteur
    • Hüsler, Jürg. Department of Mathematical Statistics and Actuarial Science, University of Bern, 3012, Bern, Switzerland
    • Li, Deyuan. Department of Mathematical Statistics and Actuarial Science, University of Bern, 3012, Bern, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Extremes, 2006, vol. 9, no. 1, p. 69-86. Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:312219
    Summary
    Applications of univariate extreme value theory rely on certain as- sumptions. Recently, two methods for testing these extreme value conditions are derived by [Dietrich, D., de Haan, L., Hüsler, J., Extremes 5: 71-85, (2002)] and [Drees, H., de Haan, L., Li, D., J. Stat. Plan. Inference, 136: 3498-3538, (2006)]. In this paper we compare the two tests by simulations and investigate the effect of a possible weight function by choosing a parameter, the test error and the power of each test. The conclusions are useful for extreme value applications