composite.mle {distributionsrd}

Composite MLE

Description

Maximum likelihood estimation of the parameters of the two-/three- composite distribution

Usage

composite.mle(x, dist, start, lower = NULL, upper = NULL)

Arguments

x

data vector

dist

character vector denoting the distribution of the first-, second- (and third) component respectively. If only two components are provided, the distribution reduces to the two-component distribution.

start

named numeric vector holding the coefficients of the first-, second- (and third) component, predeced by coeff1., coeff2. (and coeff3.), respectively. Coefficients for the last component do not have to be provided for the two-component distribution and will be disregarded.

lower, upper

Lower and upper bounds to the estimated coefficients, defaults to -Inf and Inf respectively.

Value

Returns a named list containing a

coefficients

Named vector of coefficients

convergence

logical indicator of convergence

cutoffs

Cutoffs of the composite distribution

n

Length of the fitted data vector

np

Nr. of coefficients

components

Nr. of components

Examples

dist <- c("invpareto", "lnorm", "pareto")
coeff <- c(
  coeff1.k = 1.5, coeff2.meanlog = -0.5,
  coeff2.sdlog = 0.5, coeff3.k = 1.5
)
lower <- c(1e-10, -Inf, 1e-10, 1e-10)
upper <- c(Inf, Inf, Inf, Inf)
x <- rcomposite(1e3, dist = dist, coeff = coeff)

composite.mle(x = x, dist = dist, start = coeff + 0.2, lower = lower, upper = upper)

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