MLE of some truncated distributions {MLE}

MLE of some truncated distributions

Description

MLE of some truncated distributions.

Usage

truncmle(x, distr = "trunccauchy", a, b, tol = 1e-07)

Arguments

x

A numerical vector with continuous data. For the Cauchy distribnution, they can be anywhere on the real line. For the exponential distribution they must be strictly positive.

distr

The type of distribution to fit, "trunccauchy" and "truncexpmle" stand for the truncated Cauchy and truncated exponential distributions, respectively.

a

The lower value at which the Cauchy distribution is truncated.

b

The upper value at which the Cauchy or the exponential distribution is truncated. For the exponential this must be greater than zero.

tol

The tolerance value to terminate the fitting algorithm.

Details

Maximum likelihood of some truncated distributions is performed.

Value

A list including:

iters

The number of iterations reuired by the Newton-Raphson algorithm.

loglik

The log-likelihood.

lambda

The \lambda parameter in the exponential distribution.

param

The location and scale parameters in the Cauchy distribution.

Author(s)

Michail Tsagris and Sofia Piperaki.

R implementation and documentation: Michail Tsagris [e-mail] and Sofia Piperaki [e-mail].

References

David Olive (2018). Applied Robust Statistics (Chapter 4).

http://lagrange.math.siu.edu/Olive/ol-bookp.htm

See Also

cens.mle

Examples

x <- rnorm(500)
truncmle(x, a = -1, b = 1)