pareto2_estimate_mle: Parameter Estimation in the Pareto Type-II Distribution...

In agop: Aggregation Operators and Preordered Sets

Description

Finds the maximum likelihood estimator of the Pareto Type-II distribution's shape parameter k and, if not given explicitly, scale parameter s.

Usage

pareto2_estimate_mle(x, s = NA_real_, smin = 1e-04, smax = 20,
  tol = .Machine$double.eps^0.25)

Arguments

x	a non-negative numeric vector
s	a-priori known scale parameter, s>0 or NA if unknown (default)
smin	lower bound for the scale parameter
smax	upper bound for the scale parameter
tol	the desired accuracy (convergence tolerance)

Details

Note that if s is not given, then the maximum of the likelihood function might not exist for some input vectors. This estimator may have a large mean squared error. Consider using pareto2_estimate_mmse.

For known s, the estimator is unbiased.

Value

Returns a numeric vector with the following named components:

• k - estimated parameter of shape

• s - estimated (or known, see the s argument) parameter of scale

or c(NA, NA) if the maximum of the likelihood function could not be found.

See Also

Other Pareto2: pareto2_estimate_mmse, pareto2_test_ad, pareto2_test_f, rpareto2

agop documentation built on March 26, 2020, 7:48 p.m.