Estimation and Testing for a Lognormal-Pareto Mixture

Estimates a lognormal-Pareto mixture by means of the Expectation-Conditional-Maximization-Either algorithm and by maximizing the profile likelihood function. A likelihood ratio test for discriminating between lognormal and Pareto tail is also implemented. See Bee, M. (2022) .

LNPar

The goal of LNPar is to estimate and test for a Lognormal-Pareto Mixture

Installation

You can install the development version of LNPar from GitHub with:

# install.packages("devtools")
devtools::install_github("marco-bee/LNPar")

Example

This is a basic example which shows you how to solve a common problem:

library(LNPar)
ySim <- rLnormParMix(100,.5,0,1,4,1.5)
mixFit <- LPfitEM(ySim, 1e-10, 1000, qxmin0 = 0.5, nboot = 0)