GeneralizedHyperbolic: nigFitStart – R documentation

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nigFitStart

Find Starting Values for Fitting a normal inverse Gaussian Distribution

Description

Finds starting values for input to a maximum likelihood routine for fitting normal inverse Gaussian distribution to data.

Usage

nigFitStart(x, startValues = c("FN","Cauchy","MoM","US"),
              paramStart = NULL,
              startMethodMoM = c("Nelder-Mead","BFGS"), ...)
  nigFitStartMoM(x, startMethodMoM = "Nelder-Mead", ...)

Arguments

`x`	data vector.
`startValues`	a `character` strin specifying the method for starting values to consider. See Details.
`paramStart`	starting values for param if `startValues = "US"`.
`startMethodMoM`	Method used by call to `optim` in finding method of moments estimates.
`...`	Passes arguments to `hist` and `optim`.

Details

Possible values of the argument startValues are the following:

"US"User-supplied.
"FN"A fitted normal distribution.
"Cauchy"Based on a fitted Cauchy distribution, from fitdistr() of the MASS package.
"MoM"Method of moments.

If startValues = "US" then a value must be supplied for paramStart.

If startValues = "MoM", nigFitStartMoM is called. If startValues = "MoM" an initial optimisation is needed to find the starting values. These optimisations call optim.

Value

nigFitStart returns a list with components:

`paramStart`	A vector with elements `mu`, `delta`, `alpha` and `beta` giving the starting value of param.
`xName`	A character string with the actual `x` argument name.
`breaks`	The cell boundaries found by a call to `hist`.
`midpoints`	The cell midpoints found by a call to `hist`.
`empDens`	The estimated density found by a call to `hist`.

nigFitStartMoM returns only the method of moments estimates as a vector with elements mu, delta, alpha and beta.

Author(s)

David Scott d.scott@auckland.ac.nz, Christine Yang Dong

References

Barndorff-Nielsen, O. (1977) Exponentially decreasing distributions for the logarithm of particle size, Proc. Roy. Soc. Lond., A353, 401–419.

Barndorff-Nielsen, O., Blæsild, P., Jensen, J., and Sörenson, M. (1985). The fascination of sand. In A celebration of statistics, The ISI Centenary Volume, eds., Atkinson, A. C. and Fienberg, S. E., pp. 57–87. New York: Springer-Verlag.

Fieller, N. J., Flenley, E. C. and Olbricht, W. (1992) Statistics of particle size data. Appl. Statist., 41, 127–146.

Examples

param <- c(2, 2, 2, 1)
dataVector <- rnig(500, param = param)
nigFitStart(dataVector, startValues = "FN")
nigFitStartMoM(dataVector)
nigFitStart(dataVector, startValues = "MoM")

GeneralizedHyperbolic

The Generalized Hyperbolic Distribution

v0.8-4

GPL (>= 2)

Authors

David Scott <d.scott@auckland.ac.nz>

Initial release

2018-05-15