Likelihood Ratio statistic for Gumbel vs. GEV

Likelihood Ratio statistic for the Gumbel distribution vs. GEV.

Usage

LRGumbel(x, alternative = c("frechet", "GEV"))

Arguments

x

Numeric vector of sample values.

alternative

Character string describing the alternative.

Value

The LR statistic value.

Details

The Likelihood-Ratio statistic is actually \(W:=-2 \log \textrm{LR}\) where LR is the ratio of the likelihoods Gumbel to alternative distribution.

Note

When the alternative is "frechet", the statistic has a distribution of mixed type under the null hypothesis of a Gumbel distribution.

Author

Yves Deville