WLVmix: NPMLE for Longitudinal Gaussian Means and Variances Model...

In REBayes: Empirical Bayes Estimation and Inference

NPMLE for Longitudinal Gaussian Means and Variances Model with Independent Prior

Description

A Kiefer-Wolfowitz NPMLE procedure for estimation of a Gaussian model with independent mean and variance prior components with weighted longitudinal data. This version iterates back and forth from Gamma and Gaussian forms of the likelihood.

Usage

WLVmix(y, id, w, u = 300, v = 300, eps = 1e-04, maxit = 2, ...)

Arguments

y	A vector of observations
id	A strata indicator vector indicating grouping of y
w	A vector of weights corresponding to y
u	A vector of bin boundaries for the mean effects
v	A vector of bin boundaries for the variance effects
eps	Convergence tolerance for iterations
maxit	A limit on the number of allowed iterations
...	optional parameters to be passed to KWDual to control optimization

Value

A list consisting of the following components:

u	midpoints of the mean bin boundaries
fu	the function values of the mixing density of the means
v	midpoints of the variance bin boundaries
fv	the function values of the mixing density of the variances.
logLik	vector of log likelihood values for each iteration
du	Bayes rule estimate of the mixing density means.
dv	Bayes rule estimate of the mixing density variances.
status	Mosek convergence status for each iteration

Author(s)

J. Gu and R. Koenker

References

Gu, J. and R. Koenker (2015) Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data, J. Applied Econometrics, 32, 575-599.

Koenker, R. and J. Gu, (2017) REBayes: An R Package for Empirical Bayes Mixture Methods, Journal of Statistical Software, 82, 1–26.

See Also

WGLVmix for a more general bivariate mixing distribution version and WTLVmix for an alternative estimator exploiting a Student/Gamma decomposition

REBayes documentation built on Aug. 19, 2023, 5:10 p.m.