LPtest {LNPar} | R Documentation |
Profile-based testing for a Pareto tail
Description
This function draws a bootstrap sample from the null (lognormal) distribution and computes the test for the null hypothesis of a pure lognormal distribution versus the alternative of a lognormal-Pareto mixture, where the parameters of the latter are estimated via maximum profile likelihood. To be only called from ParallelTest. Estimation unde rthe alternative is perfromed
Usage
LPtest(x, n, muNull, sigmaNull, minRank)
Arguments
x |
list: sequence of integers 1,...,K, where K is the mumber of datasets. Set x = 1 in case of a single dataset. |
n |
sample size. |
muNull |
lognormal expected value under the null hypothesis. |
sigmaNull |
lognormal standard deviation under the null hypothesis. |
minRank |
minimum possible rank of the threshold. |
Value
A list with the following elements:
LR: observed value of the llr test.
References
Bee M (2024). “On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach.” Advances in Data Analysis and Classification, 18, 251-269.
Examples
n = 100
muNull = mean(log(TN2016))
sigmaNull = sd(log(TN2016))
minRank = 90
res = LPtest(1,n,muNull,sigmaNull,minRank)