Description Usage Arguments Details Value Background Author(s) References See Also Examples

Fits a heteroscedastic t regression to given data for known and unknown degrees of freedom.

1 2 3 4 5 6 |

`x` |
an object of class " |

`lform` |
a formula of the type |

`sform` |
a formula of the type |

`data` |
the data in the form of a |

`subset` |
numerical vector to subset the |

`contrasts` |
set of contrasts for the location model (see |

`na.action` |
the action to proceed with in the event of |

`start` |
is a list of possibly four named components, (" |

`control` |
is an argument to a function that maintains the control of the
algorithm. The |

`obs` |
should the location parameters be calculated using the observed or
expected information(default = |

`estDof` |
should the degrees of freedom parameter be estimated or not. If |

`...` |
arguments passed to |

When the degrees of freedom is unknown the code uses the non-linear optimiser
`nlm`

. If the response (and therefore the errors) is tending toward
a Gaussian this optimisation will still converge but with with very high degrees of freedom.

To obtain the appropriate standard errors from `summary`

the user
must specify the argument `obs = F`

to ensure that the location
parameter is calculated using the expected information.

a list containing the following components:

`loc.fit` |
an object containing the estimated location parameters and other elements associated with the location parameter model |

`scale.fit` |
an object containing the estimated scale parameters and other elements associated with the scale parameter model |

`random` |
the random scale effects |

`dof` |
fixed or estimated degrees of freedom |

`dofse` |
the standard error associated with the degrees of freedom |

`iter` |
the number of iterations of the algorithm |

`logLik` |
the maximised log-likelihood |

`endTime` |
the time taken for the algorithm to converge |

The theoretical background for this function can be found in Taylor and Verbyla (2004)

Julian Taylor

Taylor, J. D. & Verbyla, A. P (2004).
Joint modelling of the location and scale parameters of the *t*-distribution.
*Statistical Modelling*
**4**, 91-112.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | ```
data(mm, package = "hett")
attach(mm)
## fit a model with no heteroscedasticity and fixed degrees of freedom
tfit <- tlm(m.marietta ~ CRSP, data = mm, start = list(dof = 3))
## fit a model with heteroscedasticity and fixed degrees of freedom
tfit1 <- tlm(m.marietta ~ CRSP, ~ CRSP, data = mm, start = list(dof = 3))
## fit a model with heteroscedasticity and estimating the degrees of freedom
tfit2 <- tlm(m.marietta ~ CRSP, ~ CRSP, data = mm,
start = list(dof = 3), estDof = TRUE)
``` |

hett documentation built on June 12, 2018, 5:19 p.m.

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