Anderson Darling and Modified Anderson Darling Tests for Generalized Pareto Distribution

Abstract

The Anderson Darling and Modified Anderson Darling test statistics are considered for testing the goodness of fit of the three parameters Generalized Pareto Distribution. The test statistics for testing the goodness of fit of the completely specified distributions are modified by replacing the Generalized Pareto distribution by their probability weighted moment estimates. The tables for critical values are derived for these empirical distribution function test for various sample sizes.