Modified likelihood ratio tests for extreme value distributions

Hyunseok Seung, Sangun Park

Research output: Contribution to journalArticlepeer-review

Abstract

The modified Anderson-Darling test statistics have been suggested in testing the highly skewed distributions to detect more possible departures in the right (or left) tail. In this paper, we propose the corresponding modified likelihood ratio test statistics, and compare their performances for the Gumbel distribution with the modified Anderson-Darling test statistics. We also provide the approximate critical values for the generalized extreme value distribution and generalized Pareto distribution where the unknown shape parameter is present.

Original languageEnglish
JournalCommunications in Statistics - Theory and Methods
DOIs
Publication statusAccepted/In press - 2021

Bibliographical note

Publisher Copyright:
© 2021 Taylor & Francis Group, LLC.

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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