mle.MixedTS {MixedTS} | R Documentation |
Maximum Likelihood Estimation for MixedTS distribution
Description
Estimate MixedTS parameters using the Maximum Likelihood Estimation procedure.
Usage
mle.MixedTS(object, start = list(), Data = NULL,
method = "L-BFGS-B", fixed.param = NULL,
lower.param = NULL, upper.param = NULL,
setSup = NULL, setInf = NULL, N = 2^10)
Arguments
object |
an object of class |
start |
a list of parameter for the mle. |
Data |
a numeric object containing the dataset. |
method |
methods for optimization routine. See |
fixed.param |
a list of the model parameter that must be fix during optimization routine. Choosing |
lower.param |
a list containing the lower bound for the parameters. |
upper.param |
a list containing the upper bound for the parameters. |
setSup |
Internal parameter. see documentation for |
setInf |
Internal parameter. see documentation for |
N |
Internal parameter. see documentation for |
Value
The function returns an object of class MixedTS.qmle
.
Examples
# First Example:
# We define the Mixed Tempered Stable using the function setMixedTS.param
ParamEx1<-setMixedTS.param(mu0=0, mu=0, sigma=0.4, a=1.5,
alpha=0.8, lambda_p=4, lambda_m=1, Mixing="Gamma")
# We generate a sample using the rMixedTS method
set.seed(100)
Rand1 <- rMixedTS(x=5000,object=ParamEx1, setSup=10,setInf=-10,N=2^9)
# Estimate procedure
## Not run:
est1<-mle.MixedTS(object=Rand1 , setSup=10,setInf=-10,N=2^9)
# Show results
summary(est1)
## End(Not run)