| RCMTmle {RCMinification} | R Documentation |
Tailed Exponential and Weibull Random Coefficient Minification Maximum Likelihood Estimation
Description
This function estimates parameters for tailed exponential and Weibull random coefficient minification process models from a nonnegative time series.
Usage
RCMTmle(y)
Arguments
y |
numeric vector of nonnegative observations. |
Value
A list containing
n |
the number of time series observations. |
p |
estimated power for transformation from exponential to Weibull. |
p.eps |
estimated tailed exponential probability parameter when preceding observation is nonzero. |
p.delta |
estimated tailed exponential probability parameter when preceding observation is 0 |
mu |
estimated mu parameter for lognormal distribution used to simulated random coefficients. |
sigma |
estimated sigma parameter for lognormal distribution used to simulate random coefficients. |
lambda |
estimated tailed exponential rate parameter when preceding observation is nonzero. |
gamma |
estimated tailed exponential rate parameter when preceding observation is 0. |
like |
maximum value of likelihood. |
y |
original observations |
Author(s)
L. Han
References
Han, L., Braun, W.J. and Loeppky (2018) Random Coefficient Minification Processes. Statistical Papers, pp 1-22.