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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Drees, H., de Haan, L., Li, D.: Approximations to the tail empirical distribution function with application to testing extreme value conditions. J. Stat. Plan. Inference 136, 3498–3538 (2006)CrossRefzbMATHGoogle Scholar
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