XploRe Help : estmommixexp

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Library:	stats
See also:	estmixexp

Quantlet:		estmommixexp
Description:		computes method of moments (MoM) estimators of parameters (a, beta1, beta2) of mixture of 2 exponentials distribution.

Reference(s):

K. Burnecki, A. Misiorek, R.Weron (2004) "Loss distibution", in “Statistical Tools for Finance and Insurance”, eds. P. Cizek, W. Härdle, R. Weron, Springer.

Usage:	`{a,b1,b2} = estmommixexp(x)`
Input:
	`x`	n x 1 vector, sample from which parameters will be estimated.
Output:
	`a`	scalar, Parameter a from MoM estimation.
	`b1`	scalar, Parameter beta1 from MoM estimation.
	`b2`	scalar, Parameter beta2 from MoM estimation.

Note:

NaN is displayed if estimators can not be computed.

Example:

library("xplore") library("stats") library("distribs") library("nummath") randomize(101) sample=rndmixexp(10000,1,0.4,3,20) estmommixexp(sample)

Result:

Contents of _tmp.a
[1,]  0.41388
Contents of _tmp.b1
[1,]   3.0485
Contents of _tmp.b2
[1,]    21.13

Example:

library("xplore") library("stats") library("distribs") library("nummath") randomize(101) sample=uniform(10000,1) estmommixexp(sample)

Result:

Contents of _tmp.a
[1,]  +NaN
Contents of _tmp.b1
[1,]  +NaN
Contents of _tmp.b2
[1,]  +NaN

Author: A. Misiorek, 20041110 license MD*Tech