mmedist {fitdistrplus}

Matching moment fit of univariate distributions

Description

Fit of univariate distributions by matching moments (raw or centered) for non censored data.

Usage

mmedist(data, distr, order, memp, start = NULL, fix.arg = NULL, optim.method = "default", 
  lower = -Inf, upper = Inf, custom.optim = NULL, weights = NULL, silent = TRUE, 
  gradient = NULL, checkstartfix=FALSE, calcvcov=FALSE, ...) 

Arguments

data

A numeric vector for non censored data.

distr

A character string "name" naming a distribution (see 'details').

order

A numeric vector for the moment order(s). The length of this vector must be equal to the number of parameters to estimate.

memp

A function implementing empirical moments, raw or centered but has to be consistent with distr argument (and weights argument). See details below.

start

A named list giving the initial values of parameters of the named distribution or a function of data computing initial values and returning a named list. This argument may be omitted (default) for some distributions for which reasonable starting values are computed (see the 'details' section of mledist).

fix.arg

An optional named list giving the values of fixed parameters of the named distribution or a function of data computing (fixed) parameter values and returning a named list. Parameters with fixed value are thus NOT estimated.

optim.method

"default" or optimization method to pass to optim.

lower

Left bounds on the parameters for the "L-BFGS-B" method (see optim).

upper

Right bounds on the parameters for the "L-BFGS-B" method (see optim).

custom.optim

a function carrying the optimization .

weights

an optional vector of weights to be used in the fitting process. Should be NULL or a numeric vector with strictly positive integers (typically the number of occurences of each observation). If non-NULL, weighted MME is used, otherwise ordinary MME.

silent

A logical to remove or show warnings when bootstraping.

gradient

A function to return the gradient of the squared difference for the "BFGS", "CG" and "L-BFGS-B" methods. If it is NULL, a finite-difference approximation will be used, see details.

checkstartfix

A logical to test starting and fixed values. Do not change it.

calcvcov

A logical indicating if (asymptotic) covariance matrix is required.

...

further arguments passed to the optim, constrOptim or custom.optim function.

Details

The argument distr can be one of the base R distributions: "norm", "lnorm", "exp" and "pois", "gamma", "logis", "nbinom" , "geom", "beta" and "unif". In that case, no other arguments than data and distr are required, because the estimate is computed by a closed-form formula. For distributions characterized by one parameter ("geom", "pois" and "exp"), this parameter is simply estimated by matching theoretical and observed means, and for distributions characterized by two parameters, these parameters are estimated by matching theoretical and observed means and variances (Vose, 2000). Note that for these closed-form formula, fix.arg cannot be used and start is ignored.

The argument distr can also be the distribution name as long as a corresponding mdistr function exists, e.g. "pareto" if "mpareto" exists. In that case arguments arguments order and memp have to be supplied in order to carry out the matching numerically, by minimization of the sum of squared differences between observed and theoretical moments. Optionnally other arguments can be supplied to control optimization (see the 'details' section of mledist for details about arguments for the control of optimization). In that case, fix.arg can be used and start is taken into account.

For non closed-form estimators, memp must be provided to compute empirical moments. When weights=NULL, this function must have two arguments x, order: x the numeric vector of the data and order the order of the moment. When weights!=NULL, this function must have three arguments x, order, weights: x the numeric vector of the data, order the order of the moment, weights the numeric vector of weights. See examples below.

Optionally, a vector of weights can be used in the fitting process. By default (when weigths=NULL), ordinary MME is carried out, otherwise the specified weights are used to compute (raw or centered) weighted moments. For closed-form estimators, weighted mean and variance are computed by wtdmean and wtdvar from the Hmisc package. When a numerical minimization is used, weighted are expected to be computed by the memp function. It is not yet possible to take into account weighths in functions plotdist, plotdistcens, plot.fitdist, plot.fitdistcens, cdfcomp, cdfcompcens, denscomp, ppcomp, qqcomp, gofstat and descdist (developments planned in the future).

This function is not intended to be called directly but is internally called in fitdist and bootdist when used with the matching moments method.

Since Version 1.2-0, mmedist automatically computes the asymptotic covariance matrix using I. Ibragimov and R. Has'minskii (1981), hence the theoretical moments mdist should be defined up to an order which equals to twice the maximal order given order. For instance, the normal distribution, we fit against the expectation and the variance and we need to have mnorm up to order 2\times2=4.

Value

mmedist returns a list with following components,

estimate

the parameter estimates.

convergence

an integer code for the convergence of optim defined as below or defined by the user in the user-supplied optimization function. 0 indicates successful convergence. 1 indicates that the iteration limit of optim has been reached. 10 indicates degeneracy of the Nealder-Mead simplex. 100 indicates that optim encountered an internal error.

value

the minimal value reached for the criterion to minimize.

hessian

a symmetric matrix computed by optim as an estimate of the Hessian at the solution found or computed in the user-supplied optimization function.

optim.function

(if appropriate) the name of the optimization function used for maximum likelihood.

optim.method

(if appropriate) when optim is used, the name of the algorithm used, the field method of the custom.optim function otherwise.

fix.arg

the named list giving the values of parameters of the named distribution that must kept fixed rather than estimated by maximum likelihood or NULL if there are no such parameters.

fix.arg.fun

the function used to set the value of fix.arg or NULL.

weights

the vector of weigths used in the estimation process or NULL.

counts

A two-element integer vector giving the number of calls to the log-likelihood function and its gradient respectively. This excludes those calls needed to compute the Hessian, if requested, and any calls to log-likelihood function to compute a finite-difference approximation to the gradient. counts is returned by optim or the user-supplied function or set to NULL.

optim.message

A character string giving any additional information returned by the optimizer, or NULL. To understand exactly the message, see the source code.

loglik

the log-likelihood value.

method

either "closed formula" or the name of the optimization method.

order

the order of the moment(s) matched.

memp

the empirical moment function.

Author(s)

Marie-Laure Delignette-Muller and Christophe Dutang.

References

I. Ibragimov and R. Has'minskii (1981), Statistical Estimation - Asymptotic Theory, Springer-Verlag, doi:10.1007/978-1-4899-0027-2

Evans M, Hastings N and Peacock B (2000), Statistical distributions. John Wiley and Sons Inc, doi:10.1002/9780470627242.

Vose D (2000), Risk analysis, a quantitative guide. John Wiley & Sons Ltd, Chischester, England, pp. 99-143.

Delignette-Muller ML and Dutang C (2015), fitdistrplus: An R Package for Fitting Distributions. Journal of Statistical Software, 64(4), 1-34, doi:10.18637/jss.v064.i04.

See Also

mmedist, qmedist, mgedist, fitdist,fitdistcens, optim, bootdistcens and bootdist.

Examples

# (1) basic fit of a normal distribution with moment matching estimation
#

set.seed(1234)
n <- 100
x1 <- rnorm(n=n)
mmedist(x1, "norm")

#weighted
w <- c(rep(1, n/2), rep(10, n/2))
mmedist(x1, "norm", weights=w)$estimate


# (2) fit a discrete distribution (Poisson)
#

set.seed(1234)
x2 <- rpois(n=30,lambda = 2)
mmedist(x2, "pois")

# (3) fit a finite-support distribution (beta)
#

set.seed(1234)
x3 <- rbeta(n=100,shape1=5, shape2=10)
mmedist(x3, "beta")


# (4) fit a Pareto distribution
#


  require(actuar)
  #simulate a sample
  x4  <-  rpareto(1000, 6, 2)

  #empirical raw moment
  memp  <-  function(x, order) mean(x^order)
  memp2 <- function(x, order, weights) sum(x^order * weights)/sum(weights)

  #fit by MME
  mmedist(x4, "pareto", order=c(1, 2), memp=memp, 
    start=list(shape=10, scale=10), lower=1, upper=Inf)
  #fit by weighted MME
  w <- rep(1, length(x4))
  w[x4 < 1] <- 2
  mmedist(x4, "pareto", order=c(1, 2), memp=memp2, weights=w,
    start=list(shape=10, scale=10), lower=1, upper=Inf)