| GVmix {REBayes} | R Documentation |
NPMLE for Gaussian Variance Heterogeneity
Description
A Kiefer-Wolfowitz MLE for Gaussian models with independent variances. This
can be viewed as a general form for \chi^2 mixtures, see Gammamix
for a more general form for Gamma mixtures.
Usage
GVmix(x, m, v = 300, weights = NULL, ...)
Arguments
x |
vector of observed variances |
m |
vector of sample sizes corresponding to x |
v |
A vector of bin boundaries, if scalar then v equally spaced bins are constructed |
weights |
replicate weights for x obervations, should sum to 1 |
... |
optional parameters passed to KWDual to control optimization |
Value
An object of class density with components:
x |
midpoints of the bin boundaries |
y |
estimated function values of the mixing density |
g |
function values of the mixture density at the observed x's. |
logLik |
the value of the log likelihood at the solution |
dy |
Bayes rule estimates of |
status |
the Mosek convergence status. |
Author(s)
R. Koenker
References
Koenker, R and I. Mizera, (2013) “Convex Optimization, Shape Constraints, Compound Decisions, and Empirical Bayes Rules,” JASA, 109, 674–685.
Gu J. and R. Koenker (2014) Unobserved heterogeneity in income dynamics: an empirical Bayes perspective, JBES, 35, 1-16.
Koenker, R. and J. Gu, (2017) REBayes: An R Package for Empirical Bayes Mixture Methods, Journal of Statistical Software, 82, 1–26.
See Also
Gammamix for a general implementation for Gamma mixtures