distrMod (version 2.1.1)

trafoEst: Function trafoEst in Package `distrMod'

Description

trafoEst takes a $\tau$ like function (compare help to trafo-methods and transforms an existing estimator by means of this transformation

Usage

trafoEst(fct, estimator)

Arguments

fct

a $\tau$ like function, i.e., a function in the main part $\theta$ of the parameter returning a list list(fval, mat) where fval is the function value $\tau(\theta)$ of the transformation, and mat, its deriv

estimator

an object of class Estimator.

Value

• exactly the argument estimator, but with modified slots estimate, asvar, and trafo.

Details

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.

Examples

## 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)