ProbDistTWMLERestricted
[this page | pdf]
Function Description
Returns the tail weighted maximum likelihood estimation
vector for a given dataset for parameters of a probability distribution given
by DistributionName and with the order of parameter values matching the
parameter names listed by MnProbDistParamNames)
subject to the restriction that for those parameters with AllowParameterToVary
= FALSE the estimator must be identical to its OpeningParameterChoice.
The algorithm used starts from values for each of the
non-fixed parameters in line with its value in OpeningParameterChoices
and searches for the (possibly just ‘nearest’) parameter selection that
maximises the weighted (log) likelihood function.
An explanation of the algorithm used is given in TailWeightedParameterEstimation.pdf.
Probability distributions currently recognised by the
website may be listed using MnRecognisedProbDists.
NAVIGATION LINKS
Contents | Prev | Next
Output type / Parameter details
Output type: Double()
Parameter Name | Variable Type | Description |
DistributionName | String | Name of distribution |
InputValues | Double() | Array containing values from which TWMLE is derived |
Weights | Double() | Weights applied to individual elements of InputValues |
QuantilePoints | Double() | Quantile points applicable to individual input values |
OpeningParameterChoices | Double() | Initial (approximate) variable choices from which search for TWLS starts |
AllowParameterToVary | Boolean() | Indicates if relevant parameter can vary |
TWMLEDirection | Double | Direction in which to carry out TWMLE (+ve = up, -ve = down, 0 = average) |
Links to:
-
Interactively run function
-
Interactive instructions
-
Example calculation
-
Output type / Parameter details
-
Illustrative spreadsheet
-
Other Probability distribution analysis functions
-
Computation units used
Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement