Goodness-of-Fit Tests for the Generalized Pareto Distribution

By V. Choulakian, Michael A. Stephens. Technometrics, 2001

382 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3e5e0b24c9b4ab975fd093459a636a3020bc22d2

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Citations in the corpus

Models for extremes using the extended three-parameter Burr XII system with application to flood frequency analysis / Modèles d’extrêmes utilisant le système Burr XII étendu à trois paramètres et application à l’analyse fréquentielle des crues (2004, methodology): “Its parameter estimation and testing have been investigated by Van Montfort & Witter (1985), Hosking & Wallis (1987), Davison & Smith (1990), Grimshaw(1993), Moharram et al. (1993) and Choulakian & Stephens (2001) .”
Threshold detection for the generalized Pareto distribution: Review of representative methods and application to the NOAA NCDC daily rainfall database (2016, methodology): “…error metric to quantify the departure between the empirical and fitted distributions [see e.g., Stephens, 1986; Ahmad et al., 1988; Dupuis, 1998; Choulakian and Stephens, 2001; Laio, 2004; Deidda and Puliga, 2006; Deidda 2007; Serinaldi and Kilsby, 2014], and (b) Hill-assumption-based methods,…”
An application of extreme value theory to cryptocurrencies (2018, positive): “In order to select the threshold, 𝑢 , we apply a failure-to-reject method following Choulakian and Stephens (2012).”
Performances of some parameter estimators of the generalized Pareto distribution over rounded-off samples (2009, methodology): “Graphical and numerical methods have been proposed and applied by several authors to detect the threshold (e.g., Davison and Smith, 1990; Smith, 1994; Lang et al., 1999; Dupuis, 1999; Choulakian and Stephens, 2001).”
Cramer–von Mises and Anderson‐Darling goodness of fit tests for extreme value distributions with unknown parameters (2004, methodology): “…the location parameter becomes superefficient [Darling, 1955]: ignorance about q1 makes no difference for the estimation of q2 and q3 [Smith, 1985], and for any q3 > 0.5 one can use the percentage points (and the Sp coefficients) that are found for q3 = 0.5 [see also Choulakian and Stephens, 2001].”
Wave Extremes in the Northeast Atlantic (2012, background): “For the GP distribution, these critical values were first established by Choulakian and Stephens (2001) and vary with j when both j and s are unknown.”
Sensitivity of goodness-of-fit statistics to rainfall data rounding off (2006, methodology): “In order to detect an optimal threshold, keeping the largest possible number of data, we chose to apply a ‘‘failure-toreject’’ method based on goodness-of-fit tests, as it was proposed by Choulakian and Stephens [Choulakian, V., Stephens, M.A., 2001. Goodness-of-fit tests for the generalized Pareto ”
The Alpha Power Transformation Family: Properties and Applications (2019, methodology): “Using the generalized binomial expansion and the power series (3), we obtain F (x)s+r−1 = υ ∞ ∑”
Methods for Exploring Spatial and Temporal Variability of Extreme Events in Climate Data (2008, methodology): “The goodness of fit can be examined using the Anderson–Darling (AD), Kolmogorov– Smirnov (KS), and Cramér–von Mises (CvM) test statistics (Choulakian and Stephens 2001).”
Faster permutation inference in brain imaging (2016, methodology): “Goodness of fit can be assessed with the Anderson– Darling test (Anderson and Darling, 1952; Choulakian and Stephens, 2001; Knijnenburg et al., 2009).”
A two-step framework for over-threshold modelling of environmental extremes (2014, methodology): “Anderson–Darling (AD) goodnessof-fit test is suggested and employed by Choulakian and Stephens (2001) and Haylock (2011).”
Approximations to the tail empirical distribution function with application to testing extreme value conditions (2006, positive): “This was already observed in a purely parametric generalized Pareto model by Choulakian and Stephens (2001).”
Sparse Representation-Based Open Set Recognition (2017, background): “when > 1=2, it has been shown that these are extremely rare cases in practice [26], [27].”