Abstract
Let X denote a sample from a multivariate Generalized Extreme Value – GEV( θ) – model. In this paper asymptotic properties of Gumbel type statistics – which properly balance both the upper and lower tail – are derived and asymptotic properties of such statistics for testing H 0: θ = 0 in the multivariate GEV( θ) model are obtained. A likelihood ratio test for H 0: θ = 0 is also developed. A suitable algorithm for obtaining the maximum likelihood estimates of the unknown parameters is implemented. Comparison of tests is made through simulation methods.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
