Goodness-of-Fit Tests for the Generalized Pareto Distribution
- 1 November 2001
- journal article
- Published by Taylor & Francis Ltd in Technometrics
- Vol. 43 (4), 478-484
- https://doi.org/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.Keywords
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