ExtremeRisks (version 0.0.5)

testTailHomo: Test on tail homogeneity

Description

Given observed samples and effective sample size, return the results for a likelihood ratio-type test on tail homogeneity.

Usage

testTailHomo(y, k, alpha = 0.05)

Value

list of 7 containing

• gamHatP the pooled tail index

• VarGamHatP the variance of gamHatP

• CIGamHatP \((1-\alpha)\) level confidence interval for gamHatP

• BiasGamHatP bias term of gamHatP

• logLikR value of the likelihood ratio-type of test statistic

• PVal p-value of the test

Arguments

y

list, containing the samples on which the test is to be performed

k

integer, number of exceedances for the generalized Pareto

alpha

double indicating the confidence level for the test. Default: 0.05

References

Daouia, A., S.A. Padoan and G. Stupfler (2024). Optimal weighted pooling for inference about the tail index and extreme quantiles, Bernoulli, 30(2), pp. 1287–1312.

Examples

if (FALSE) {
# generate two samples of data
set.seed(1234)
y1 <- evd::rgpd(500, 0, 1, 0.2)
y2 <- evd::rgpd(700, 0, 2, 0.7)
y <- list(y1 = y1, y2 = y2)
# set effective sample size
k <- 50
# perform test
test <- testTailHomo(y,k)
}