MCECMupdate {QRMlib}R Documentation

MCECM Update Step for Generalized Hyperbolic

Description

updates estimates of mixing parameters in EM estimation of generalized hyperbolic

Usage

MCECMupdate(data, mix.pars, mu, Sigma, gamma, optpars, optfunc, xieval=FALSE)

Arguments

data data matrix
mix.pars current values of lambda, chi and psi
mu current value of mu
Sigma current value of Sigma
gamma current value of gamma
optpars parameters we need to optimize over (may differ from case to case)
optfunc the function to be optimized
xieval is it necessary to evaluate the log moment xi?

Details

see Algorithm 3.14, steps (5) and (6) on page 83 of QRM

Value

list containing new estimates of mixing parameters as well as convergence information for optimization

See Also

fit.mNH


[Package QRMlib version 1.4.4 Index]