Re: [R] MLE for censored distributions in R

From: Vincent Goulet <vincent.goulet_at_act.ulaval.ca>
Date: Wed, 23 Jan 2008 15:57:48 +0100

Le mar. 22 janv. à 17:47, Thomas Downey a écrit :

>

> Hi just wondering if there is a package that can get the maximum
> likelihood
> or method of moments estimator for distributions with censored
> data? The
> distributions I'm interested in are: Exponential, pareto, beta,
> gamma and
> lognormal.

I'm highly biased here, but you may have a look at package actuar. The function coverage() will define the pdf or cdf of a random variable modified in many sorts of ways (truncation, censoring, inflation, etc.) based on any distribution you want. You can then use the function is usual fitting procedures such as fitdistr() for ML. See the "lossdist" vignette in the package for details.

HTH

---
   Vincent Goulet, Associate Professor
   École d'actuariat
   Université Laval, Québec
   Vincent.Goulet@act.ulaval.ca   http://vgoulet.act.ulaval.ca

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Received on Wed 23 Jan 2008 - 15:36:45 GMT

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