estimate.tsdistribution.spec {tsdistributions}

Estimates the parameters of a distribution using autodiff.

Description

Estimates the parameters of a distribution using autodiff.

Usage

## S3 method for class 'tsdistribution.spec'
estimate(
  object,
  solver = "nlminb",
  control = list(trace = 0, eval.max = 300, iter.max = 500),
  use_hessian = TRUE,
  ...
)

Arguments

object

an object of class “tsdistribution.spec”.

solver

only “nlminb” currently supported.

control

solver control parameters.

use_hessian

whether to use the hessian in the calculation.

...

additional parameters passed to the estimation function

Details

The estimation makes use of the TMB package for minimizing the negative of the log-likelihood using automatic differentiation.

Value

An object of class “tsdistribution.estimate” with slots for the estimated coefficients, gradients, scores etc.