1977•BiometrikaRequires access

Goodness of fit for the extreme value distribution

Michael A. Stephens

Abstract

In this paper we present goodness of fit tests for the extreme value distribution, based on the empirical distribution function statistics W2, U2and A2. Asymptotic percentage points are given for each of the three statistics, for the three cases where one or both of the parameters of the distribution must be estimated from the data. Slight modifications of the calculated statistics are given to enable the points to be used with small samples.

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Key concepts: Goodness of fit, Mathematics, Statistics, Extreme value theory, Empirical distribution function, Anderson–Darling test, Kolmogorov–Smirnov test, Distribution (mathematics)