skellam.mle {skellam}R Documentation

Maximum Likelihood Estimation for the Skellam Distribution

Description

Estimates the parameters of a Skellam distribution using maximum likelihood.

Usage

skellam.mle(x)

Arguments

x

A vector of integers (positive or negative).

Details

Instead of having to maximize the log-likelihood with respect to both parameters (\lambda_1 and \lambda_2), the function maximizes with respect to \lambda_2 while setting \lambda_1 = \lambda_2 + \bar{x}. This approach improves computational efficiency. The optimization is performed using nlm as it proved faster than optimise.

Value

A list with components:

iters

Number of iterations required by nlm.

loglik

Maximized log-likelihood value.

param

Estimated parameters (\hat{\lambda}_1, \hat{\lambda}_2).

Author(s)

Michail Tsagris

References

Examples

# Basic example
x1 <- rpois(1000, 10)
x2 <- rpois(1000, 6)
x <- x1 - x2
skellam.mle(x)

# Larger sample size
x1 <- rpois(10000, 10)
x2 <- rpois(10000, 6)
x <- x1 - x2
skellam.mle(x)


[Package skellam version 0.2.4 Index]