WTLVmix: NPMLE for Longitudinal Gaussian Means and Variances Model

In REBayes: Empirical Bayes Estimation and Inference

NPMLE for Longitudinal Gaussian Means and Variances Model

Description

A Kiefer-Wolfowitz NPMLE procedure for estimation of a Gaussian model with independent mean and variance components with weighted longitudinal data. This version exploits a Student t decomposition of the likelihood.

Usage

WTLVmix(y, id, w, u = 300, v = 300, ...)

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
...	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	log likelihood value for mean problem
du	Bayes rule estimate of the mixing density means.
dv	Bayes rule estimate of the mixing density variances.
status	Mosek convergence status

Author(s)

J. Gu and R. Koenker

References

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

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