dynloglik {FitDynMix}

Log-likelihood of a Lognormal-GPD dynamic mixture

Description

This function evaluates the log-likelihood of a Lognormal-GPD dynamic mixture, computing the integral in the normalizing constant via quadrature methods.

Usage

dynloglik(x, y, intTol, weight)

Arguments

x

if weight is equal to 'cau', (6 by 1) numerical vector: values of \mu_c, \tau, \mu, \sigma, \xi, \beta; if weight is equal to 'exp', (5 by 1) numerical vector: values of \lambda, \mu, \sigma, \xi, \beta.

y

vector: points where the function is evaluated.

intTol

non-negative scalar: 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.

Value

log-likelihood of the lognormal-GPD mixture evaluated at y.

Examples

x <- c(1,2,0,.5,.25,3.5)
y <- rDynMix(100,x,'cau')
fit <- dynloglik(x,y,1e-04,'cau')