Description Usage Arguments Details Value References See Also Examples
Computes the MAMSE weights (see references below for their definition).
1 |
x |
A list of |
surv |
Controls the calculation of the survival MAMSE weights rather that the multivariate version for copulas. |
ub |
if |
lb |
If |
MCint |
When MAMSE weights are calculated for copulas, MCint=TRUE allows to proceed with
Monte Carlo integration. The laternative MCint=TRUE will estimate the integral on the grid |
nMC |
When |
Provided a list of samples, this function returns the Minimum Averaged Mean Squared Error weights. The MAMSE weights can be used in a weighted likelihood, or to define mixtures of empirical distributions. In both cases, the methodology is used to infer on Population 1 while borrowing strength from the other samples provided. Refer to the articles below for the exact definition of the MAMSE weights, their asymptotic properties and simulations results, as well as additional information about the weighted likelihood.
A vector of p
elements containing the MAMSE weights for each of the
populations.
F. Hu and J. V. Zidek (2002). The weighted likelihood, The Canadian Journal of Statistics, 30, 347–371.
J.-F. Plante (2007). Adaptive Likelihood Weights and Mixtures of Empirical Distributions. Unpublished doctoral dissertation, University of British Columbia.
J.-F. Plante (2008). Nonparametric adaptive likelihood weights. The Canadian Journal of Statistics, 36, 443-461.
J.-F. Plante (2009). Asymptotic properties of the MAMSE adaptive likelihood weights. Journal of Statistical Planning and Inference, 139, 2147-2161.
J.-F. Plante (2009). About an adaptively weighted Kaplan-Meier estimate. Lifetime Data Analysis, 15, 295-315.
X. Wang (2001). Maximum weighted likelihood estimation, unpublished doctoral dissertation, Department of Statistics, The University of British Columbia.
MAMSE-package, WKME.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | set.seed(2009)
# MAMSE weights for univariate data
x=list(rnorm(25),rnorm(25,.1),rnorm(25,.2))
MAMSE(x)
#MAMSE weights for copulas
y=list(matrix(rnorm(150),nc=2),matrix(rnorm(150),nc=2),
matrix(rnorm(150),nc=2))
MAMSE(y)
MAMSE(y,MCint=TRUE)
#MAMSE weights for right-censored data
z=list(cbind(rexp(50),rbinom(50,1,.5)),cbind(rexp(50,1.1),
rbinom(50,1,.5)),cbind(rexp(50,.9),rbinom(50,1,.5)))
MAMSE(z,3,surv=TRUE)
#For more examples, see help on "MAMSE-package"
|
[1] 0.6089779 0.1958913 0.1951308
[1] 0.4214501 0.2690779 0.3094720
[1] 0.4210146 0.2698608 0.3091246
[1] 0.7047462 0.0000000 0.2952538
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