Abstract
A comparison between the ordinary least-squares estimator and the weighted least-squares estimator when the data set arises from the standard extreme value distribution is provided. Probability plot of the extreme value distribution is applied. A goodness-of-fit test of the standard extreme value distribution is introduced. The percentage points of the test statistic are investigated. The results of power study for the test statistic under various alternatives show that in most situations the proposed test statistic serves as well as do competing alternatives.
| Original language | English |
|---|---|
| Pages | 257-267 |
| Volume | 25 |
| No. | 2 |
| Specialist publication | Computational Statistics |
| Publisher | Physica Verlag |
| DOIs | |
| Publication status | Published - 2010 |
Subject classification (UKÄ)
- Probability Theory and Statistics
Free keywords
- Mean and variances and covariance of order statistics - Probability plot - Standard extreme value distribution - Weighted least-squares estimator