| MLEBoot {FitDynMix} | R Documentation |
Bootstrap standard errors of MLEs
Description
This function creates bootstrap samples of input data and fits a dynamic mixture via maximum likelihood.
Usage
MLEBoot(x, y, intTol, weight)
Arguments
x |
list of integers: indices of replications. |
y |
numerical vector: observed data. |
intTol |
threshold for stopping the computation of the integral in the normalization constant: if the integral on the interval from n-1 to n is smaller than intTol, the approximation procedure stops. |
weight |
'cau' or 'exp': name of weight distribution. |
Details
MLEs are computed by means of the optim function. When it breaks down, the sample is discarded and a new one is generated. The function keeps track of the number of times this happens.
Value
A list with the following elements:
MLE: maximum likelihood estimates obtained from each bootstrap sample.
errors: number of times the MLE algorithm breaks down.
Examples
bootMLEs <- MLEBoot(1,Metro2019,1e-04,'exp')