A bootstrap goodness of fit test for the generalized Pareto distribution

This paper proposes a bootstrap goodness of fit test for the Generalized Pareto distribution (GPd) with shape parameter gamma. The proposed test is an intersection-union test which tests separately the cases of gamma >= 0 and gamma < 0 and rejects if both cases are rejected. If the test does not reject, then it is known whether the shape parameter gamma is either positive or negative. A Monte Carlo simulation experiment was conducted to assess the power of performance of the intersection-union test. The GPd hypothesis was tested on a data set containing Mexico City's ozone levels.(1) (C) 2009 Elsevier B.V. All rights reserved.