LNPar (version 1.1.3)

LPtestEM: ECME-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 by means of the ECME algorithm. To be only called from ParallelTestEM.

Usage

LPtestEM(x, n, muNull, sigmaNull)

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

log-expectation value under the null hypothesis.

sigmaNull

log-standard deviation under the null hypothesis.

Examples

n = 100
muNull = mean(log(TN2016))
sigmaNull = sd(log(TN2016))
res = LPtestEM(1,n,muNull,sigmaNull)