Description Usage Arguments Value References Examples
Likelihood ratio test for model selection using the Kullback-Leibler information criterion \insertCitevuong1989likelihooddistributionsrd
1 |
x, y |
vector of log-likelihoods |
np.x, np.y |
Number of paremeters respectively |
corr |
type of correction for parameters, defaults to none. |
returns data frame with test statistic, p-value and character vector indicating the test outcome.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | x <- rlnorm(1e4, meanlog = -0.5, sdlog = 0.5)
pareto_fit <- combdist.mle(x = x, dist = "pareto")
pareto_loglike <- dcombdist(x = x, dist = "pareto", coeff = pareto_fit$coefficients, log = TRUE)
lnorm_fit <- combdist.mle(x = x, dist = "lnorm")
lnorm_loglike <- dcombdist(x = x, dist = "lnorm", coeff = lnorm_fit$coefficients, log = TRUE)
llr_vuong(x = pareto_loglike, y = lnorm_loglike, np.x = pareto_fit$np, np.y = lnorm_fit$np)
# BIC type parameter correction
llr_vuong(x = pareto_loglike, y = lnorm_loglike, np.x = pareto_fit$np, np.y = lnorm_fit$np,
corr = "BIC")
# AIC type parameter correction
llr_vuong(x = pareto_loglike, y = lnorm_loglike, np.x = pareto_fit$np, np.y = lnorm_fit$np,
corr = "AIC")
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