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Activity Number:
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200
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Type:
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Contributed
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Date/Time:
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Monday, August 1, 2016 : 10:30 AM to 11:15 AM
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Sponsor:
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Section on Statistics and the Environment
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Abstract #321648
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Title:
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A Standardized Signed Likelihood Ratio Test for the Threshold in a Generalized Pareto Distribution
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Author(s):
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David Smith*
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Companies:
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Tennessee Tech University
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Keywords:
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generalized Pareto distribution ;
threshold analysis ;
extreme values
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Abstract:
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Graphical methods are often used for determining a threshold when fitting a generalized Pareto distribution to the exceedances. We propose a one-sided test constructed through an adjustment made to the signed root of the likelihood ratio statistic due to DiCiccio, Martin and Stern (2001). Considerable improvement is shown even for small samples. Construction of the test is easily derived through simulations and do not require complex calculations that are often required when conditioning on ancillary statistics. The computational algorithms to carry-out the test and small sample performance are provided. Several examples are presented to illustrate the method.
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Authors who are presenting talks have a * after their name.
