truncmle function

MLE of some truncated distributions

MLE of some truncated distributions.

truncmle(x, distr = "trunccauchy", a, b, tol = 1e-07)

Arguments

• x: A numerical vector with continuous data. For the Cauchy distribnution, they can be anywhere on the real line. For the exponential distribution they must be strictly positive.
• distr: The type of distribution to fit, "trunccauchy" and "truncexpmle" stand for the truncated Cauchy and truncated exponential distributions, respectively.
• a: The lower value at which the Cauchy distribution is truncated.
• b: The upper value at which the Cauchy or the exponential distribution is truncated. For the exponential this must be greater than zero.
• tol: The tolerance value to terminate the fitting algorithm.

Details

Maximum likelihood of some truncated distributions is performed.

Returns

A list including: - iters: The number of iterations reuired by the Newton-Raphson algorithm.

• loglik: The log-likelihood.

• lambda: The $\lambda$ parameter in the exponential distribution.

• param: The location and scale parameters in the Cauchy distribution.

References

David Olive (2018). Applied Robust Statistics (Chapter 4).

http://lagrange.math.siu.edu/Olive/ol-bookp.htm

Author(s)

Michail Tsagris and Sofia Piperaki.

R implementation and documentation: Michail Tsagris mtsagris@uoc.gr and Sofia Piperaki sofiapip23@gmail.com .

See Also

cens.mle

Examples

x <- rnorm(500)
truncmle(x, a = -1, b = 1)