Function trafoEst in Package ‘distrMod’
trafoEst takes a tau like function (compare
trafo-methods) and transforms an existing estimator by means
of this transformation.
trafoEst(fct, estimator)
fct |
a tau like function, i.e., a function
in the main part theta of the parameter returning a list |
estimator |
an object of class |
The disadvantage of this proceeding is that the transformation is not accounted for in determining the estimate (e.g. in a corresponding optimality); it simply transforms an existing estimator, without reapplying it to data. This becomes important in optimally robust estimation.
exactly the argument estimator, but with modified slots
estimate, asvar, and trafo.
## Gaussian location and scale
NS <- NormLocationScaleFamily(mean=2, sd=3)
## generate data out of this situation
x <- r(distribution(NS))(30)
## want to estimate mu/sigma, sigma^2
## -> without new trafo slot:
mtrafo <- function(param){
mu <- param["mean"]
sd <- param["sd"]
fval <- c(mu/sd, sd^2)
nfval <- c("mu/sig", "sig^2")
names(fval) <- nfval
mat <- matrix(c(1/sd,0,-mu/sd^2,2*sd),2,2)
dimnames(mat) <- list(nfval,c("mean","sd"))
return(list(fval=fval, mat=mat))
}
## Maximum likelihood estimator in the original problem
res0 <- MLEstimator(x = x, ParamFamily = NS)
## transformation
res <- trafoEst(mtrafo, res0)
## confidence interval
confint(res)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.