A bootstrap goodness of fit test for the generalized Pareto distribution

  • Authors:

  • José A. Villaseñor-Alva;Elizabeth González-Estrada

  • Affiliations:

  • Colegio de Postgraduados, Mexico;Colegio de Postgraduados, Mexico

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2009

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Abstract

This paper proposes a bootstrap goodness of fit test for the Generalized Pareto distribution (GPd) with shape parameter @c. The proposed test is an intersection-union test which tests separately the cases of @c=0 and @c