Dear R Helpers
This is the R code (which I have slightly changed) I got in VGAM package for
estimating the parameters of FRECHET.
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y = rfrechet(n <- 100, shape=exp(exp(0))) # (A)
fit3 = vglm(y ~ 1, frechet3(ilocation=0), trace=TRUE, maxit=155) # (B)
coef(fit3, matrix=TRUE) # (C)
Coef(fit3) # (D)
fitted(fit3)[1:5,] # (E)
mean(y) # (F)
weights(fit3, type="w")[1:5,] # (G)
vcov(fit3) # (H)
f...@extra$location[1:3] # Estimate of the location parameter # (I)
f...@extra$lhsanchor # Anchor Point # (J)
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When I run these commands using R I get following output corresponding to each
command line
OUTPUT # (A)
[1] 0.7495887 1.1578511 0.8872487 0.7781103 1.1026540 1.8557026
1.1527270 1.1538885
[9] 1.0436005 0.8702552 1.0326653 1.1456378 1.1292287 0.9779141
0.7882611 2.0040318
[17] 0.8832376 1.6684632 0.7112340 1.8440806 0.8103669 0.6171517
0.6632612 0.9288173
[25] 1.2625774 1.2371949 2.3995687 0.9674406 1.2205647 2.2997349
1.3561988 1.0257294
[33] 0.7693035 1.3112102 1.2841138 0.5207330 0.8861406 0.7819666
1.1376008 1.3396068
[41] 0.6828540 0.7358596 0.8678724 1.1191930 0.9581007 0.8645687
1.0269345 0..9853376
[49] 0.7861684 2.2938797 0.5994656 1.3733527 3.0904095 2.7179989
0.8408945 0.9995262
[57] 1.0456575 0.6139744 17.4274447 0.5928158 1.6172649 0.7354806
1.4714551 0.7851852
[65] 1.9091740 1.0862915 1.9082128 1.0051395 1.0991948 1.6698645
2.8901334 0.8174091
[73] 1.3964180 0.7452934 0.8133906 1.2417527 2.1583672 1.1822409
0.8068691 0.8410480
[81] 1.2394454 1.3391757 1.0867579 1.3395385 1.2791401 0.7897431
1.2112373 1.6531473
[89] 1.7432403 6.7756058 0.9385585 1.5561437 0.9590773 0.7936483
2.5215168 1.1984615
[97] 0.6345925 1.4218795 2.3178357 1.5454827
OUTPUT # (B)
In vglm.fitter(x = x, y = y, w = w, offset = offset, Xm2 = Xm2, :
convergence not obtained in 155 iterations.
OUTPUT # (C)
> coef(fit3, matrix=TRUE)
log(difference) log(scale) loglog(shape)
(Intercept) -0.7954072 -0.1283776 -0.03175329
OUTPUT # (D)
> Coef(fit3))
difference scale shape
0.4513974 0.8795212 2.6346374
(IS IT THAT THESE GIVE THE SCALE AND SHAPE PARAMETER ESTIMATES OF FRECHET.?)
OUTPUT # (E)
> fitted(fit3)[1:5,]
[1] 1.339454 1.339454 1.33954 1.339454 1.339454
(WHAT DOES THIS MEAN?)
OUTPUT # (F)
> mean(y)
[1] 1.439024
OUTPUT # (G)
weights(fit3, type="w")[1:5,]
[,1] [,2] [,3] [,4]
[,5] [,6]
[1,] 24.264915 46.60547 38.864660 -33.624853 40.492033
-29.075460
[2,] 7.599936 14.18608 1.554636 -9.724618 2.440009
-2.670739
[3,] 6.486803 26.53437 1.855081 -12.926846 -5.700736
2.433455
[4,] 16.768849 37.36856 36.299447 -25.025068 34.078418
-22.643518
[5,] 9.562077 15.87083 2.671884 -11.625172 4.418292
-4.454716
(WHAT DOES THIS MEAN?)
OUTPUT # (H)
vcov(fit3)
(Intercept)1 (Intercept)2 (Intercept):3
(Intercept) : 1 0.0022605491 0.0021317673 -1.576056e-04
(Intercept) : 2 0.0021317673 0.0020926942 -1.780387e-04
(Intercept) : 3 -0.0001576056 -0.0001780387 3.892675e-05
Warning message:
In summaryvlm(object, corr = FALSE, dispersion = dispersion) : the estimated
variance-covariance matrix is usually inaccurate as the working weight matrices
are a crude BFGS quasi-Newton approximation
OUTPUT # (I)
f...@extra$location[1:3] # Estimate of the location parameter
1 2 3
0.06930899 0.06930899 0.06930899
(What does this MEAN? IS IT THAT 'D' gives SCALE and SHAPE parameter whereas
this gives me LOCATION parameter?)
OUTPUT # (J)
f...@extra$lhsanchor # Anchor point
[1] 0.520733
(What does this mean?)
My problem is to calculate the estimators of 3 Parameter FRECHET distribution.
Which of the above figures give me estimates of the three parameters of the
FRECHET distribution.
With regards and thanking in advance,
Maithili
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