TY - JOUR
T1 - Modified likelihood ratio tests for extreme value distributions
AU - Seung, Hyunseok
AU - Park, Sangun
N1 - Publisher Copyright:
© 2021 Taylor & Francis Group, LLC.
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
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U2 - 10.1080/03610926.2021.2018463
DO - 10.1080/03610926.2021.2018463
M3 - Article
AN - SCOPUS:85121703399
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
SN - 0361-0926
ER -