- Prof. Bjorn Vandewalle – Centro Estatística e Aplicações/DEIO – FCUL
- FCUL (DEIO) – Campo Grande – Bloco C6 – Piso 4 – Sala 6.4.30 – 14h 30m
- Quarta-feira, 26 de Abril de 2006
Within the framework of statistical hypothesis testing concerning the Gumbel extreme value domain of attraction and under a generalized Pareto model for exceedances over a high threshold, a pseudo-score test statistic can be considered which turns out to be closely related to the well-known Greenwood goodness-of-fit statistic. Based on an Edgeworth expansion for the distribution function of the Greenwood statistic, finite-sample corrections can be applied to the critical values of the pseudo-score statistic under asymptotic normality, making them more in line with the true properties of the underlying distribution.