A Computational Approach to Confidence Intervals and Testing for Generalized Pareto Index Using the Greenwood Statistic
The generalized Pareto distributions (GPDs) play an important role in the statistics of extremes. We point various problems with the likelihood-based inference for the index parameter α of the GPDs, and develop alternative testing strategies, which do not require parameter estimation. Our test stat...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2023-07-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/357 |