Correlation-Type Goodness of Fit Test for Extreme Value Distribution Based on Simultaneous Closeness

摘要

In reliability studies, one typically would assume a lifetime distribution for the units under study and then carry out the required analysis. One popular choice for the lifetime distribution is the family of two-parameter Weibull distributions (with scale and shape parameters) which, through a logarithmic transformation, can be transformed to the family of two-parameter extreme value distributions (with location and scale parameters). In carrying out a parametric analysis of this type, it is highly desirable to be able to test the validity of such a model assumption. A basic tool that is useful for this purpose is a quantile-quantile (QQ) plot, but in its use, the issue of the choice of plotting position arises. Here, by adopting the optimal plotting points based on Pitman closeness criterion proposed recently by Balakrishnan et al. (2010b3. Balakrishnan , N. , Davies , K. F. , Keating , J. P. , Mason , R. L. ( 2010b ). Computation of optimal plotting points based on Pitman Closeness with an application to goodness of fit for location-scale families. Submitted to Computational Statistics & Data Analysis. View all references), and referred to as simultaneous closeness probability (SCP) plotting points, we propose a correlation-type goodness of fit test for the extreme value distribution. We compute the SCP plotting points for various sample sizes and use them to determine the mean, standard deviation and critical values for the proposed correlation-type test statistic. Using these critical values, we carry out a power study, similar to the one carried out by Kinnison (198910. Kinnison , R. ( 1989 ). Correlation coefficient goodness of fit test for extreme value distribution . The American Statistician 43 : 98 - 100 . [CrossRef], [Web of Science ®]View all references), through which we demonstrate that the use of SCP plotting points results in better power than with the use of mean ranks as plotting points and nearly the same power as with the use of median ranks. We then demonstrate the use of the SCP plotting points and the associated correlation-type test for Weibull analysis with an illustrative example. Finally, for the sake of comparison, we also adapt two statistics proposed by Gan and Koehler (19907. Gan , F. F. , Koehler , K. J. ( 1990 ). Goodness of fit based on P-P probability plots . Technometrics 32 : 289 - 303 . [Taylor & Francis Online], [Web of Science ®]View all references), in the context of probability-probability (PP) plots, based on SCP plotting points and compare their performance to those based on mean ranks. The empirical study also reveals that the tests from the QQ plot have better power than those from the PP plot.