TML1.noncensored: Truncated Maximum Likelihood Estimates of Location and Scale

In RobustAFT: Truncated Maximum Likelihood Fit and Robust Accelerated Failure Time Regression for Gaussian and Log-Weibull Case

Truncated Maximum Likelihood Estimates of Location and Scale

Description

This functions computes the truncated maximum likelihood estimates of location and scale described in Marazzi and Yohai (2004). It assumes that the error distribution is approximately Gaussian or log-Weibull. The cut-off values for outlier rejection are fixed or adaptive. This function is a simplified version of TML.noncensored for the case without covariates.

Usage

TML1.noncensored(y, errors= c("Gaussian", "logWeibull"), cu = NULL, 
     initial = c("S", "input"), otp = c("adaptive", "fixed"), 
     cov = c("no", "parametric", "nonparametric"), input = NULL, 
     control = list(), ...)

Arguments

y	Observation vector
errors	"Gaussian": the error distribution is assumed to be approximately Gaussian. "logWeibull" : the error distribution is assumed to be approximately log-Weibull.
cu	Preliminary minimal upper cut-off. The default is 2.5 in the Gaussian case and 1.855356 in the log-Weibull case.
initial	"S" : initial S-estimate. "input" : the initial estimate is given on input.
otp	"adaptive": adaptive cut-off. "fixed" : non adaptive cut-off.
cov	"no": no estimate of the covariance matrix of the estimates is provided on output. "parametric": a parametric estimate of the covariance matrix of the location-scale estimates is provided (to be used when n is small). "nonparametric": a nonparametric estimate of the covariance matrix of the location-scale estimates is provided.
input	Initial input estimates of location and scale. Required when initial="input". "Gaussian case" : list(theta=...,sigma=...) initial input estimates. theta: location; sigma: scale. "logWeibull case" : list(tau=...,v=...) initial input estimates of location (tau) and scale (v).
control	Control parameters. For the default values, see the function TML1.noncensored.control.
...	If initial="S", parameters for the computation of the initial S estimates. See the function TML1.noncensored.control.S for the default values.

Value

A list with the following components:

th0	Initial location estimate (S or input).
v0	Initial scale estimate (S or input).
nit0	Reached number of iteration if initial="S"
th1	Final location estimate.
v1	Final scale estimate.
nit1	Reached iteration number in IRLS algorithm for final estimate (only for the log_Weibull case).
tu, tl	Final cut-off values.
alpha	Estimated proportion of retained observations.
tn	Number of retained observations.
beta	Consistency constant for scale.
wi	Vector of weights (0 for rejected observations, 1 for retained observations).
CV0	Covariance matrix of the initial estimates (th0,v0).
CV1	Covariance matrix of the final estimates (th1,v1).

References

Marazzi A., Yohai V. (2004). Adaptively truncated maximum likelihood regression with asymmetric errors. Journal of Statistical Planning and Inference, 122, 271-291.

See Also

TML.noncensored, TML1.noncensored.control, TML1.noncensored.control.S

Examples

## Not run: 
      data(Z243)
      Cost <- Z243$CouTot                         
      y    <- log(Cost)
      ctrl <- TML1.noncensored.control(iv=1,tol=1e-3)
      z    <- TML1.noncensored(y,errors="logWeibull", initial="S",otp="adaptive",
              cov="no",control=ctrl)

## End(Not run)

RobustAFT documentation built on Aug. 21, 2023, 5:13 p.m.