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A bootstrap goodness of fit test for the generalized Pareto distribution

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

Abstract

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

Suggested Citation

  • Villaseñor-Alva, José A. & González-Estrada, Elizabeth, 2009. "A bootstrap goodness of fit test for the generalized Pareto distribution," Computational Statistics & Data Analysis, Elsevier, vol. 53(11), pages 3835-3841, September.
    • Handle: RePEc:eee:csdana:v:53:y:2009:i:11:p:3835-3841
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    References listed on IDEAS

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    1. Luceno, Alberto, 2006. "Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 904-917, November.
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    2. Cirillo, Pasquale & Taleb, Nassim Nicholas, 2016. "On the statistical properties and tail risk of violent conflicts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 29-45.

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