Estimation and Testing for a Lognormal-Pareto Mixture
density of a mixture of a lognormal and a Pareto r.v.
density of a Pareto r.v.
Bootstrap standard errors for the MLEs of a lognormal-Pareto mixture
Log-likelihood with respect to xmin
Estimating a lognormal-Pareto mixture via the ECME algorithm
Profile likelihood estimation of a lognormal-Pareto mixture
Profile-based testing for a Pareto tail
ECME-based testing for a Pareto tail
Estimate the parameters of a lognormal-Pareto density, assuming a know...
Profile-based testing for a Pareto tail
ECME-based testing for a Pareto tail
Bootstrap standard errors for the estimators of a lognormal-Pareto mix...
Random number simulation for a mixture of a lognormal and a Pareto r.v...
Random number generation for a Pareto r.v.
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) <doi:10.1007/s11634-022-00497-4>.