GetUncertainty_ML: Maximum-likelihood estimation of uncertainty

In HydroPortailStats: 'HydroPortail' Statistical Functions

Maximum-likelihood estimation of uncertainty

Description

Returns an estimate of the uncertainty around the maximum-likelihood estimate, in the form of a covariance matrix and some simulations from the corresponding Gaussian distribution.

Usage

GetUncertainty_ML(y, dist, par, nsim = nsim_def)

Arguments

y	numeric vector, data
dist	character, distribution name
par	numeric vector, estimated parameter (using GetEstimate_ML()).
nsim	integer, number of simulated parameter replicates.

Value

A list with the following components:

cov	numeric matrix npar*npar, covariance matrix.
sim	numeric matrix nsim*npar, simulated parameter replicates.
ok	logical, did computation succeed?
err	integer, error code (0 if ok)
message	error message

Examples

y=c(9.2,9.5,11.4,9.5,9.4,9.6,10.5,11.1,10.5,10.4)
estim=GetEstimate_ML(y,'Gumbel',par0=GetEstimate_ROUGH(y,'Gumbel')$par)
GetUncertainty_ML(y,'Gumbel',par=estim$par)

HydroPortailStats documentation built on Sept. 12, 2024, 9:36 a.m.