distrMod: confint-methods – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

confint-methods

Methods for function confint in Package ‘distrMod’

Description

Methods for function confint in package distrMod; by default uses confint and its corresponding S3-methods, but also computes (asymptotic) confidence intervals for objects of class Estimate. Computes confidence intervals for one or more parameters in a fitted model.

Usage

confint(object, method, ...)
## S4 method for signature 'ANY,missing'
confint(object, method, parm, level = 0.95, ...)
## S4 method for signature 'Estimate,missing'
confint(object, method, level = 0.95)
## S4 method for signature 'mle,missing'
confint(object, method, parm, level = 0.95, ...)
## S4 method for signature 'profile.mle,missing'
confint(object, method, parm, level = 0.95, ...)

Arguments

`object`	in default / signature `ANY` case: a fitted model object, in signature `Estimate` case, an object of class `Estimate`
`parm`	only used in default / signature `ANY` case: a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.
`level`	the confidence level required.
`method`	not yet used (only as `missing`; later to allow for various methods
`...`	additional argument(s) for methods.

Details

confint is a generic function. Its behavior differs according to its arguments.

signature ANY,missing:: the default method; uses the S3 generic of package stats, see confint.
signature Estimate,missing:: will return a corresponding confidence interval assuming asymptotic normality, and hence needs suitably filled slot asvar in argument object. Besides the actual bounds, organized in an array just as in the S3 generic, the return value also captures the name of the estimator for which it is produced, as well as the corresponding call producing the estimator, and the corresponding trafo and nuisance slots/parts.

Value

`signature ANY,missing:`	A matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labelled as (1-level)/2 and 1 - (1-level)/2 in % (by default 2.5% and 97.5%).
`signature Estimate,missing:`	An object of class `Confint`

Examples

## for signature ANY examples confer stats::confint
## (empirical) Data
x <- rgamma(50, scale = 0.5, shape = 3)

## parametric family of probability measures
G <- GammaFamily(scale = 1, shape = 2)

## Maximum likelihood estimator
res <- MLEstimator(x = x, ParamFamily = G)
confint(res)

### for comparison:
require(MASS)
(res1 <- fitdistr(x, "gamma"))
## add a convenient (albeit wrong)
## S3-method for vcov:
## --- wrong as in general cov-matrix
##     will not be diagonal
## but for conf-interval this does
## not matter...
vcov.fitdistr <- function(object, ...){
     v<-diag(object$sd^2)
     rownames(v) <- colnames(v) <- names(object$estimate) 
     v}

## explicitely transforming to
## MASS parametrization:
mtrafo <- function(x){
     nms0 <- names(c(main(param(G)),nuisance(param(G))))
     nms <- c("shape","rate")
     fval0 <- c(x[2], 1/x[1])
     names(fval0) <- nms
     mat0 <- matrix( c(0, -1/x[1]^2, 1, 0), nrow = 2, ncol = 2,
                     dimnames = list(nms,nms0))                          
     list(fval = fval0, mat = mat0)}

G2 <- G
trafo(G2) <- mtrafo
res2 <- MLEstimator(x = x, ParamFamily = G2)

old<-getdistrModOption("show.details")
distrModoptions("show.details" = "minimal")
res
res1
res2
confint(res)
confint(res1)
confint(res2)
confint(res,level=0.99)
distrModoptions("show.details" = old)

distrMod

Object Oriented Implementation of Probability Models

v2.8.4

LGPL-3

Authors

Matthias Kohl [aut, cph], Peter Ruckdeschel [cre, cph], R Core Team [ctb, cph] (for source file 'format.perc')

Initial release

2020-03-06