phfit.density: PH fitting with density function

In mapfit: PH/MAP Parameter Estimation

PH fitting with density function

Description

Estimates PH parameters from density function.

Usage

phfit.density(
  ph,
  f,
  deformula = deformula.zeroinf,
  weight.zero = 1e-12,
  weight.reltol = 1e-08,
  start.divisions = 8,
  max.iter = 12,
  ...
)

Arguments

ph	An object of R6 class. The estimation algorithm is selected depending on this class.
f	A function object for a density function.
deformula	An object for formulas of numerical integration. It is not necessary to change it when the density function is defined on the positive domain [0,infinity).
weight.zero	A absolute value which is regarded as zero in numerical integration.
weight.reltol	A value for precision of numerical integration.
start.divisions	A value for starting value of divisions in deformula.
max.iter	A value for the maximum number of iterations to increase divisions in deformula.
...	Options for EM steps, which is also used to send the arguments to density function.

Value

Returns a list with components, which is an object of S3 class phfit.result;

model	an object for estimated PH class.
llf	a value of the maximum log-likelihood (a negative value of the cross entropy).
df	a value of degrees of freedom of the model.
KL	a value of Kullback-Leibler divergence.
iter	the number of iterations.
convergence	a logical value for the convergence of estimation algorithm.
ctime	computation time (user time).
data	an object for data class
aerror	a value of absolute error for llf at the last step of algorithm.
rerror	a value of relative error for llf at the last step of algorithm.
options	a list of options.
call	the matched call.

Note

Any of density function can be applied to the argument f, where f should be defined f <- function(x, ...). The first argument of f should be an integral parameter. The other parameters are set in the argument ... of phfit.density. The truncated density function can also be used directly.

Examples

####################
##### truncated density
####################

## PH fitting for general PH
(result1 <- phfit.density(ph=ph(2), f=dnorm, mean=3, sd=1))

## PH fitting for CF1
(result2 <- phfit.density(ph=cf1(2), f=dnorm, mean=3, sd=1))

## PH fitting for hyper Erlang
(result3 <- phfit.density(ph=herlang(3), f=dnorm, mean=3, sd=1))

## mean
ph.mean(result1$model)
ph.mean(result2$model)
ph.mean(result3$model)

## variance
ph.var(result1$model)
ph.var(result2$model)
ph.var(result3$model)

## up to 5 moments 
ph.moment(5, result1$model)
ph.moment(5, result2$model)
ph.moment(5, result3$model)

mapfit documentation built on Nov. 22, 2022, 5:05 p.m.