R/halft.mle.R

In foldedt: The Folded t Family of Distributions

halft.mle <- function(x) {

  fun <- function(para, n, x2) {
    v <- exp(para[1])  ;  s2 <- exp(para[2])
    - n * lgamma(0.5 * v + 0.5) + n * 0.5 * log(v * pi * s2) + n * lgamma(0.5 * v) +
    0.5 * (v + 1) * sum( log1p(x2/v/s2) )
  }
  n <- length(x)
  x2 <- x^2
  v <- Rfast::ct.mle(x)$nu
  s2 <- Rfast::tmle(x, v = v)$param[2]
  mod <- optim( c( log(v), log(s2) ), fun, n = n, x2 = x2, control = list(maxit = 5000) )
  mod <- optim( mod$par, fun, n = n, x2 = x2, control = list(maxit = 5000) )
  param <- exp(mod$par)
  names(param) <- c("nu", "scatter")
  list( param = param, loglik = -mod$value + n * log(2) )
}