llr_vuong function

Vuong's closeness test

Likelihood ratio test for model selection using the Kullback-Leibler information criterion if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="vuong1989likelihood",package="distributionsrd",cached_env=.Rdpack.currefs)

llr_vuong(x, y, np.x, np.y, corr = c("none", "BIC", "AIC"))

Arguments

• x, y: vector of log-likelihoods
• np.x, np.y: Number of paremeters respectively
• corr: type of correction for parameters, defaults to none.

Returns

returns data frame with test statistic, p-value and character vector indicating the test outcome.

Examples

x <- rlnorm(1e4, meanlog = -0.5, sdlog = 0.5)
pareto_fit <- combdist.mle(x = x, dist = "pareto")
pareto_loglike <- dcombdist(x = x, dist = "pareto", coeff = pareto_fit$coefficients, log = TRUE)
lnorm_fit <- combdist.mle(x = x, dist = "lnorm")
lnorm_loglike <- dcombdist(x = x, dist = "lnorm", coeff = lnorm_fit$coefficients, log = TRUE)

llr_vuong(x = pareto_loglike, y = lnorm_loglike, np.x = pareto_fit$np, np.y = lnorm_fit$np)

# BIC type parameter correction
llr_vuong(x = pareto_loglike, y = lnorm_loglike, np.x = pareto_fit$np, np.y = lnorm_fit$np,
corr = "BIC")

# AIC type parameter correction
llr_vuong(x = pareto_loglike, y = lnorm_loglike, np.x = pareto_fit$np, np.y = lnorm_fit$np,
corr = "AIC")

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)