dynloglikMC: Log-likelihood of a Lognormal-GPD dynamic mixture
Description
This function evaluates the log-likelihood of a Lognormal-GPD dynamic mixture,
with Cauchy or exponential weight, approximating the normalizing constant via Monte Carlo simulation.
Usage
dynloglikMC(x, y, nreps, xiInst, betaInst, weight)
Value
Log-likelihood of the lognormal-GPD mixture evaluated at y.
Arguments
x
if weight is equal to 'cau', (6 by 1) numerical vector: values of \(\mu_c\), \(\tau\), \(\mu\), \(\sigma\), \(\xi\), \(\beta\);
if weight is equal to 'exp', (5 by 1) numerical vector: values of \(\lambda\), \(\mu\), \(\sigma\), \(\xi\), \(\beta\).
y
vector: points where the function is evaluated.
nreps
non-negative integer: number of replications to be used in the computation of the integral in the normalizing
constant.
xiInst
non-negative real: shape parameter of the instrumental GPD.
betaInst
non-negative real: scale parameter of the instrumental GPD.