Application of the Kolmogorov-Smirnov Test to Estimate the Threshold When Estimating the Extreme Value Index
نویسنده
چکیده
The Pareto distribution model assumption in the peaks over threshold method, will be tested by making using of the Kolmogorov-Smirnov goodness of fit method. Pareto distributed variables can be transformed to exponential, and the test will be for exponentiality. It was found that the statistic can be used as an indication of where to choose the threshold and to check the Pareto model assumption.
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عنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 40 شماره
صفحات -
تاریخ انتشار 2011