Please use this identifier to cite or link to this item: doi:10.22028/D291-26224
Title: Approximations to the tail empirical distribution function with application to testing extreme value conditions
Author(s): Drees, Holger
de Haan, Laurens
Deyuan, Li
Language: English
Year of Publication: 2002
Free key words: domain of attraction
limit distribution
maximum likelihood
DDC notations: 510 Mathematics
Publikation type: Other
Abstract: A weighted approximation to the tail empirical distribution function is derived which is suitable for applications in extreme value statistics. The approximation is used to develop a Cramer-von Mises type test for the extreme value conditions. A useful auxiliary result is a tail approximation to the distribution function.
Link to this record: urn:nbn:de:bsz:291-scidok-44099
Series name: Preprint / Fachrichtung Mathematik, Universität des Saarlandes
Series volume: 74
Date of registration: 2-Dec-2011
Faculty: MI - Fakultät für Mathematik und Informatik
Department: MI - Mathematik
Collections:SciDok - Der Wissenschaftsserver der Universität des Saarlandes

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