| Popis: |
In order to check the adequacy of the exponential distribution for, say, peaks-over-thresholds data, a simple statistic is selected with high power for a too long or too short right tail. To that end the exponential distribution is embedded in the GPD (generalised Pareto distribution). The power of the finally proposed statistic (maximum/median) is compared with two other less simple statistics, one based on the behaviour of the ML estimator of the GPD-parameters and the other based on the subsequent slopes in the probability plot. An application is given. The ML estimation of the GPD parameters and the distribution function of the proposed statistic for exponential data are presented. |
