This function estimates parameters for tailed exponential and Weibull random coefficient minification process models from a nonnegative time series.
RCMTmle(y)A list containing
the number of time series observations.
estimated power for transformation from exponential to Weibull.
estimated tailed exponential probability parameter when preceding observation is nonzero.
estimated tailed exponential probability parameter when preceding observation is 0
estimated mu parameter for lognormal distribution used to simulated random coefficients.
estimated sigma parameter for lognormal distribution used to simulate random coefficients.
estimated tailed exponential rate parameter when preceding observation is nonzero.
estimated tailed exponential rate parameter when preceding observation is 0.
maximum value of likelihood.
original observations
numeric vector of nonnegative observations.
L. Han
Han, L., Braun, W.J. and Loeppky (2018) Random Coefficient Minification Processes. Statistical Papers, pp 1-22.