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Article . 2010
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Statistics & Probability Letters
Article . 2010 . Peer-reviewed
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Article . 2010
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Detecting finiteness in the right endpoint of light-tailed distributions

Authors: Neves, Cláudia; Pereira, António;

Detecting finiteness in the right endpoint of light-tailed distributions

Abstract

In Extreme Value statistics we often encounter testing procedures for assessing the presence of the Gumbel domain, attached to the simple null hypothesis of shape parameter , thus praising the selection of extreme domains of attraction. However, the problem of assessing for light tailed distributions with finite or infinite right endpoint is seldom referred. The latter is an impending problem of practical importance, particularly at the enrollment of subsequent estimation of extremal features such as small exceedance probabilities. In this paper, we present two test statistics whose asymptotic behavior, albeit under some restrictive yet reasonable conditions, enables to distinguish light tailed distribution functions with finite right endpoint from those with infinite endpoint lying in the Gumbel domain. An illustrative example is provided via application to significant wave height data recorded at Figueira da Foz, Portugal, from 1958 until 2001.

Related Organizations
Keywords

Statistics of extreme values; tail inference, Physical Sciences, Computational problems in statistics, Nonparametric hypothesis testing

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Average
Average
Average
Green