Approximations to the tail empirical distribution function with application to testing extreme value conditions
Journal of Statistical Planning and Inference , Volume 136 - Issue 10 p. 3498- 3538
Weighted approximations to the tail of the distribution function and its empirical counterpart are derived which are suitable for applications in extreme value statistics. The approximation of the tail empirical distribution function is then used to develop an Anderson-Darling type test of the null hypothesis that the distribution function belongs to the domain of attraction of an extreme value distribution.
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|Journal of Statistical Planning and Inference|
Drees, H, de Haan, L.F.M, & Li, D. (2006). Approximations to the tail empirical distribution function with application to testing extreme value conditions. Journal of Statistical Planning and Inference, 136(10), 3498–3538. doi:10.1016/j.jspi.2005.02.017