PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
The paper presents two tests verifying the hypothesis about the shape parameter of the generalized distribution of maximum statistic. It is called the extreme value index. The inverse of the positive index is called the tail index and determines the degree of fatness of the tail. The asymptotic pro...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2014-11-01
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| Series: | Acta Universitatis Lodziensis. Folia Oeconomica |
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| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/50 |