dgsm: Computing probability density function of the gamma shape mixture model
Description
Computes probability density function (pdf) of the gamma shape mixture (GSM) model. The general form for the pdf of the GSM model is given by
$$f(x,{\Theta}) = \sum_{j=1}^{K}\omega_j \frac{\beta^j}{\Gamma(j)} x^{j-1} \exp\bigl( -\beta x\bigr),$$
where \(\Theta=(\omega_1,\dots,\omega_K, \beta)^T\) is the parameter vector and known constant \(K\) is the number of components. The vector of mixing parameters is given by \(\omega=(\omega_1,\dots,\omega_K)^T\) where \(\omega_j\)s sum to one, i.e., \(\sum_{j=1}^{K}\omega_j=1\). Here \(\beta\) is the rate parameter that is equal for all components.
Usage
dgsm(data, omega, beta, log = FALSE)
Value
A vector of the same length as data, giving the pdf of the GSM model.
Arguments
data
Vector of observations.
omega
Vector of the mixing parameters.
beta
The rate parameter.
log
If TRUE, then log(pdf) is returned.
Author
Mahdi Teimouri
References
S. Venturini, F. Dominici, and G. Parmigiani, 2008. Gamma shape mixtures for heavy-tailed distributions, The Annals of Applied Statistics, 2(2), 756–776.