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Gammamix

NPMLE for Gamma Mixtures


Description

A Kiefer-Wolfowitz MLE for Gamma mixture models

Usage

Gammamix(x, v = 300, shape = 1, weights = NULL, ...)

Arguments

x

vector of observed variances

v

A vector of bin boundaries, if scalar then v equally spaced bins are constructed

shape

vector of shape parameters corresponding to x

weights

replicate weights for x obervations, should sum to 1

...

optional parameters passed to KWDual to control optimization

Value

An object of class density with components:

x

midpoints of the bin boundaries

y

estimated function values of the mixing density

g

function values of the mixture density at the observed x's.

logLik

the value of the log likelihood at the solution

dy

Bayes rule estimates of

status

the Mosek convergence status.

Author(s)

J. Gu and R. Koenker

References

Gu J. and R. Koenker (2014) Unobserved heterogeneity in income dynamics: an empirical Bayes perspective, JBES, 35, 1-16.

Koenker, R. and J. Gu, (2017) REBayes: An R Package for Empirical Bayes Mixture Methods, Journal of Statistical Software, 82, 1–26.

See Also

Gammamix for a general implementation for Gamma mixtures


REBayes

Empirical Bayes Estimation and Inference

v2.2
GPL (>= 2)
Authors
Roger Koenker [aut, cre], Jiaying Gu [ctb], Ivan Mizera [ctb]
Initial release

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