ml_mix: internal

In mgpd: mgpd: Functions for multivariate generalized Pareto distribution (MGPD of Type II)

Description

internal use only

Usage

ml_mix(param, dat, mlmax = 1e+15, fixed = FALSE, ...)

Arguments

param
dat
mlmax
fixed
...

Details

internal use only

Value

internal use only

Note

internal use only

Author(s)

P. Rakonczai

References

internal use only

See Also

internal use only

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (param, dat, mlmax = 1e+15, fixed = FALSE, ...) 
{
    loglik = mlmax
    hxy = NA
    x = dat[, 1]
    y = dat[, 2]
    error = FALSE
    mux = param[1]
    muy = param[4]
    sigx = param[2]
    sigy = param[5]
    gamx = param[3]
    gamy = param[6]
    alpha = 1
    mu = function(x, y) 1/x + 1/y - alpha/(x + y)
    dxdymu = function(x, y) -2 * alpha/(x + y)^3
    if (sigx < 0 | sigy < 0) 
        error = TRUE
    if (fixed == TRUE) {
        mux = 0
    }
    if (error) 
        loglik = mlmax
    if (!error) {
        tx = (1 + gamx * (x - mux)/sigx)^(1/gamx)
        ty = (1 + gamy * (y - muy)/sigy)^(1/gamy)
        tx0 = (1 + gamx * (-mux)/sigx)^(1/gamx)
        ty0 = (1 + gamy * (-muy)/sigy)^(1/gamy)
        dtx = (1/sigx) * pmax((1 + gamx * (x - mux)/sigx), 0)^(1/gamx - 
            1)
        dty = (1/sigy) * pmax((1 + gamy * (y - muy)/sigy), 0)^(1/gamy - 
            1)
        c0 = -mu(tx0, ty0)
        hxy = 1/c0 * dxdymu(tx, ty) * dtx * dty
        hxy = as.numeric(hxy * (1 - ((x < 0) * (y < 0))))
        loglik = -sum(log(hxy))
    }
    if (min(1 + gamx * (x - mux)/sigx) < 0) 
        loglik = mlmax
    if (min(1 + gamy * (y - muy)/sigy) < 0) 
        loglik = mlmax
    loglik
  }

mgpd documentation built on May 2, 2019, 9:39 a.m.