LNPar (version 1.1.3)

LPtest: 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)

Value

A list with the following elements:

LR: observed value of the llr test.

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.

References

bee24aLNPar

Examples

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