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rdoublepois
2018 May 19
0
Lower bound and upper bound in maximum likelihood
...parameter close
to the true parameter by using maximum likelihood estimation.
Simulation:
set.seed(10)
library("rmutil")
a0 = 1.5; a1 = 0.4; b1 = 0.3; g1= 0.7 ; n=100
#a0, a1 and b1 are parameter where n is size.
nu = h = rep(0, n)
h[1] = a0/(1-a1-b1)
nu[1] = rdoublepois(1,h[1],g1)
for (i in 2:n) {
h[i] = a0 + a1 * nu[i-1] + b1 * h[i-1]
nu[i] = rdoublepois(1,h[i],g1)
}
Maximum likelihood by double poisson density function from rmutil:
logl3 <- function(par) {
h.new <- vector()
a0 <- par[1]
a1 <- par[2]...