| LREP-package {LREP} | R Documentation |
LREP: Estimate and Test Exponential vs. Pareto Distributions
Description
The programs were developed for estimation of parameters and testing exponential versus Pareto distribution during our work on hydrologic extremes. See Kozubowski, T.J., A.K. Panorska, F. Qeadan, and A. Gershunov (2007) <doi:10.1080/03610910802439121>, and Panorska, A.K., A. Gershunov, and T.J. Kozubowski (2007) <doi:10.1007/978-0-387-34918-3_26>.
Details
We consider the problem of maximum likelihood estimation of the parameters of the Pareto Type II (Lomax) distribution. We show that in certain parametrization and after modification of the parameter space to include exponential distribution as a special case, the MLEs of parameters always exist. Moreover, the MLEs have a non standard asymptotic distribution in the exponential case due to the lack of regularity. Further, we develop a likelihood ratio test for exponentiality versus Pareto II distribution.
Author(s)
Maintainer: Jiqiang Wu charles.wu@utah.edu
Authors:
Fares Qeadan fares.qeadan@utah.edu
Tomasz Kozubowski tkozubow@unr.edu
Anna Panorska ania@unr.edu
References
Kozubowski, T.J., A.K. Panorska, F. Qeadan, and A. Gershunov (2007). Testing exponentiality versus Pareto distribution via likelihood ratio, preprint in review.
Panorska, A.K., A. Gershunov, and T.J. Kozubowski (2007). From diversity to volatility: Probability of daily precipitation and extremes. Nonlinear Dynamics in Geosciences (A. Tsonis and J. Elsner, Eds.), Springer, New York, pp 465-484.
See Also
Useful links:
Report bugs at https://github.com/jiqiaingwu/LREP/issues