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Testing Extreme Value Conditions |
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| Authors: | Daniel Dietrich Laurens De Haan Jürg Hüsler |
| Affiliation: | (1) Department of Mathematical Statistics, University of Bern, Sidlerstr. 5, CH-3012 Bern, Switzerland;(2) Econometrics Department, Erasmus University, PO Box 1738, 3000 DR Rotterdam, The Netherlands |
| Abstract: | A test statistic is developed that checks the validity of the extreme value conditions without specifiying the shape parameter of the limiting extreme value distribution. |
| Keywords: | extreme value conditions test statistic asymptotic distribution goodness-of-fit |
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