skewProbit.fit {SPreg} | R Documentation |
Fitting Binary Regression with a Skew-Probit Link Function
Description
It is the default fitting method for skewProbit
.
Usage
skewProbit.fit(y, x, penalty = "Jeffrey", initial = NULL,
cvtCov = TRUE, delta0 = 3, level = 0.95)
Arguments
y |
a design matrix of dimension |
x |
a vector of response of length |
penalty |
type of penalty function. Default option is "Jeffrey". "Cauchy" will give estimates with Cauchy prior penaly function. "Naive" will give ML estimates. |
initial |
a logical value. If specified, it will be used for the initial value of numerical optimization. |
cvtCov |
a logical value. If it is true, then all numerical values will be standardized to have mean zero and unit standard deviation. |
delta0 |
an initial guess of skewness parameter. |
level |
a confidence level. Default value is 0.95. |
Value
A list cotaining the following components:
coefficients |
A named vector of coefficients |
stderr |
Standard errors of coefficients |
zscore |
Z-scores of coefficients |
pval |
p-values of coefficients |
lower |
Lower limits of confidence intervals |
upper |
Upper limits of confidence intervals |
Author(s)
DongHyuk Lee, Samiran Sinha
References
Identifiability and bias reduction in the skew-probit model for a binary response. To appear in Journal of Statistical Computation and Simulation.
Examples
library(sn)
library(ucminf)
n <- 500
b0 <- 0.34
delta <- 4
b1 <- 1
b2 <- -0.7
set.seed(1234)
x1 <- runif(n, -2, 2)
x2 <- rnorm(n, sd = sqrt(4/3))
eta <- as.numeric(b0 + b1*x1 + b2*x2)
p <- psn(eta, alpha = delta)
y <- rbinom(n, 1, p)
x <- cbind(1, x1, x2)
## Not run:
mod1 <- skewProbit.fit(y, x, penalty = "Jeffrey", cvtCov = FALSE)
mod2 <- skewProbit.fit(y, x, penalty = "Naive", cvtCov = FALSE)
mod3 <- skewProbit.fit(y, x, penalty = "Cauchy", cvtCov = FALSE)
mod1$coef
mod2$coef
mod3$coef
## End(Not run)