LPtest: Profile-based testing for a Pareto tail

In LNPar: Estimation and Testing for a Lognormal-Pareto Mixture

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

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Examples

n = 100
muNull = mean(log(TN2016))
sigmaNull = sd(log(TN2016))
minRank = 90
res = LPtest(1,n,muNull,sigmaNull,minRank)

LNPar documentation built on April 4, 2025, 5:07 a.m.