PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX

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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Main Author: Dorota Pekasiewicz
Format: Article
Language:English
Published: Lodz University Press 2014-11-01
Series:Acta Universitatis Lodziensis. Folia Oeconomica
Subjects:
extreme index, size of test, power of test, Pickands estimator, Hill estimator
Online Access:https://czasopisma.uni.lodz.pl/foe/article/view/50
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spelling doaj-4bce1cae5d554b448219e598cbe1c7e42020-11-24T21:54:38ZengLodz University PressActa Universitatis Lodziensis. Folia Oeconomica0208-60182353-76632014-11-013302104PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEXDorota PekasiewiczThe 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 properties of the Pickands and the Hill estimator of the shape parameter are used to construct the test statistics. Simulation studies of the properties of these significance tests allow us to formulate some conclusions regarding their applications.https://czasopisma.uni.lodz.pl/foe/article/view/50extreme index, size of test, power of test, Pickands estimator, Hill estimator
collection DOAJ
language English
format Article
sources DOAJ
author Dorota Pekasiewicz
spellingShingle Dorota Pekasiewicz
PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
Acta Universitatis Lodziensis. Folia Oeconomica
extreme index, size of test, power of test, Pickands estimator, Hill estimator
author_facet Dorota Pekasiewicz
author_sort Dorota Pekasiewicz
title PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
title_short PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
title_full PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
title_fullStr PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
title_full_unstemmed PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
title_sort properties of selected significance tests for extreme value index
publisher Lodz University Press
series Acta Universitatis Lodziensis. Folia Oeconomica
issn 0208-6018
2353-7663
publishDate 2014-11-01
description 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 properties of the Pickands and the Hill estimator of the shape parameter are used to construct the test statistics. Simulation studies of the properties of these significance tests allow us to formulate some conclusions regarding their applications.
topic extreme index, size of test, power of test, Pickands estimator, Hill estimator
url https://czasopisma.uni.lodz.pl/foe/article/view/50
work_keys_str_mv AT dorotapekasiewicz propertiesofselectedsignificancetestsforextremevalueindex
_version_ 1725866750895980544

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