, Volume 9, Issue 1, pp 69–86 | Cite as

On testing extreme value conditions

  • Jürg HüslerEmail author
  • Deyuan Li


Applications of univariate extreme value theory rely on certain as- sumptions. Recently, two methods for testing these extreme value conditions are derived by [Dietrich, D., de Haan, L., Hüsler, J., Extremes 5: 71–85, (2002)] and [Drees, H., de Haan, L., Li, D., J. Stat. Plan. Inference, 136: 3498–3538, (2006)]. In this paper we compare the two tests by simulations and investigate the effect of a possible weight function by choosing a parameter, the test error and the power of each test. The conclusions are useful for extreme value applications.


Extreme value conditions Test statistic Weight function Power 

AMS 2000 Subject Classification



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Copyright information

© Springer Science+Business Media, LLC 2006

Authors and Affiliations

  1. 1.Department of Mathematical Statistics and Actuarial ScienceUniversity of BernBernSwitzerland

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