mleigSt {ig} | R Documentation |
The function mleigSt
gives the maximum likelihood estimates (MLE) of the
parameters mu and lambda of the IGTD generated from the t kernel based on a sample of
observations based on this distribution.
mleigSt(x)
x |
Vector of observations. |
The MLEs of the parameters mu and lambda of the classical IG distribution
are obtained using the analytical expressions of these estimators. In the case
of the IGTD generated from the t kernel, the MLEs of the parameters mu and lambda
must be obtained using numerical procedure already implmented in R
.
In this procedure, the parameter nu is obtained by using an optimal methodology
based on the data.
mleigSt()
computes MLEs for the parameters of the IGTD
generated from the t kernel giving results according to the following list:
muEstimate |
Returns the value of the MLE of mu. |
lambdaEstimate |
Returns the value of the MLE of lambda. |
nuOptimal |
Returns the optimal value for nu. |
loglikelihood |
Returns the value of the IGTD loglikelihood. |
Víctor Leiva <victor.leiva@uv.cl; victor.leiva@yahoo.com>,
Hugo Hernández <hugo.hernandez.p@gmail.com> and
Antonio Sanhueza <asanhueza@ufro.cl>.
Sanhueza, A., Leiva, V., Balakrishnan, N. (2008). A new class of inverse Gaussian type distributions. Metrika (in press).
## Generates a sample from the IGTD with t kernel x <- rigt(300, mu = 1.0, lambda = 1.0, nu = 5, kernel = "t") ## Computes the likelihood for a sample x from the IGTD with t kernel mleigSt(x)