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pareto2_estimate_mle {agop}R Documentation

Parameter Estimation in the Pareto Type-II Distribution Family (MLE)

Description

Finds the maximum likelihood estimator of the Pareto Type-II distribution's shape parameter k and, if not given explicitly, scale parameter s.

Usage

pareto2_estimate_mle(x, s = NA_real_, smin = 1e-04, smax = 20,
  tol = .Machine$double.eps^0.25)

Arguments

x

a non-negative numeric vector

s

a-priori known scale parameter, s>0 or NA if unknown (default)

smin

lower bound for the scale parameter to look for

smax

upper bound for the scale parameter to look for

tol

the desired accuracy (convergence tolerance)

Details

Note that if s is not given, then the maximum of the likelihood function may not exist for some input vectors. This estimator may have large mean squared error. Consider using pareto2_estimate_mmse.

For known s, the estimator is unbiased.

Value

Returns a numeric vector with the following named components:

or c(NA, NA) if the maximum of the likelihood function could not be found.

See Also

Other Pareto2: dpareto2, ppareto2, qpareto2, rpareto2; pareto2_estimate_mmse; pareto2_test_ad; pareto2_test_f


[Package agop version 0.2-0 Index]