ECMEBoot: Bootstrap standard errors for the MLEs of a lognormal-Pareto...

In LNPar: Estimation and Testing for a Lognormal-Pareto Mixture

Bootstrap standard errors for the MLEs of a lognormal-Pareto mixture

Description

This function draws a bootstrap sample and uses it to estimate the parameters of a lognormal-Pareto mixture distribution. Since this is typically called by LPfitEM, see the help of LPfitEM for examples.

Usage

ECMEBoot(x, y, eps, maxiter)

Arguments

x	list: sequence of integers 1,...,K, where K is the mumber of datasets. Set x = 1 in case of a single dataset.
y	numerical vector: observed sample.
eps	non-negative scalar: starting value of the log-expectation of the lognormal distribution on the log scale.
maxiter	non-negative integer: starting value of the log-variance of the lognormal distribution on the log scale.

Details

At each bootstrap replication, the mixture is estimated via the ECME algorithm. The function is typically called by LPfitEM.

Value

Estimated parameters obtained from a bootstrap sample.

LNPar documentation built on April 4, 2025, 5:07 a.m.