R/estdlaplace.R

In DiscreteLaplace: Discrete Laplace Distributions

estdlaplace<-function(x)
{
xplus<-sum(x[x>0])/length(x)
xminus<-sum(-x[x<0])/length(x)
mx<-mean(x)
if(mx>=0)
{
hatq<-2*xminus*(1+mx)/(1+2*xminus*mx+sqrt(1+4*xminus*xplus))
hatp<-(hatq+mx*(1-hatq))/(1+mx*(1-hatq))
}
else if(mx<=0)
{
hatp<-2*xplus*(1-mx)/(1-2*xplus*mx+sqrt(1+4*xminus*xplus))
hatq<-(hatp-mx*(1-hatp))/(1-mx*(1-hatp))
}
hatSigma<-matrix(hatp*hatq*(1-hatp)*(1-hatq)/(1+hatp*hatq),2,2)
hatSigma[1,1]<-hatSigma[1,1]*(1-hatp)*(1-hatp*hatq^2)/hatq/(1-hatq)^2
hatSigma[2,2]<-hatSigma[2,2]*(1-hatq)*(1-hatq*hatp^2)/hatp/(1-hatp)^2
return(list(hatp=hatp,hatq=hatq,hatSigma=hatSigma))
}