Applied Mathematical Sciences, Vol. 8, 2014, no. 95, 4703 - 4712

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http://dx.doi.org/10.12988/ams.2014.46470

S. A. Al-Subh

Department of Mathematics and Statistics, Mutah University, Karak, Jordan

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ABSTRACT

In this paper, our objective is to test the statistical hypothesis for some x, where is a known distribution function. In this study, a goodness of fit test statistics for Gumbel distribution based on Kullback-Leibler information is studied. The performance of the test under simple random sampling is investigated using Monte Carlo simulation. The Gumbel parameters are estimated by using several methods of estimation such as maximum likelihood, order statistics, moments, and L-moments. Ten different distributions are considered under the alternative hypothesis. For all the distributions considered, it is found that the test statistics based on estimators found by moment and order statistic methods have the highest power, except for weibull and Lognormal distributions.