diff --git a/NEWS.md b/NEWS.md index 3dfa385c..6999500a 100644 --- a/NEWS.md +++ b/NEWS.md @@ -8,7 +8,7 @@ NEW FEATURES - add of generic functions `AIC()` and `BIC()` for `fitdist` and `fitdistcens` objects. - make `gofstat()` work with `fitdistcens` objects (giving only AIC and BIC values). - add calculation of the hessian using `optimHess` within `fitdist` when it is not given by `optim`. -- compute the asymptotic covariance matrix with MME. +- compute the asymptotic covariance matrix with MME : Now the theoretical moments `m` should be defined up to an order which equals to twice the maximal order given `order`. - graphics function `*comp()` now return a list of drawn points and/or lines when `plotstyle == "graphics"`. - add a `density` function for `bootdist(cens)` objects. diff --git a/man/fitdist.Rd b/man/fitdist.Rd index 946b016a..8764783f 100644 --- a/man/fitdist.Rd +++ b/man/fitdist.Rd @@ -108,6 +108,10 @@ fitdist(data, distr, method = c("mle", "mme", "qme", "mge", "mse"), by minimization of the sum of squared differences between observed and theoretical moments. In this last case, further arguments are needed in the call to \code{fitdist}: \code{order} and \code{memp} (see \code{\link{mmedist}} for details). + + Since Version 1.2-0, \code{mmedist} automatically computes the asymptotic covariance matrix, + hence the theoretical moments \code{mdist} + should be defined up to an order which equals to twice the maximal order given \code{order}. } \item{When \code{method = "qme"}}{ Quantile matching estimation consists in equalizing theoretical and empirical quantile. @@ -192,7 +196,8 @@ fitdist(data, distr, method = c("mle", "mme", "qme", "mge", "mse"), or \code{NULL} if not available.} \item{cor}{ the estimated correlation matrix, \code{NA} if numerically not computable or \code{NULL} if not available.} - \item{vcov}{ the estimated variance-covariance matrix, \code{NULL} if not available.} + \item{vcov}{ the estimated variance-covariance matrix, \code{NULL} if not available + for the estimation method considered.} \item{loglik}{ the log-likelihood.} \item{aic}{ the Akaike information criterion.} \item{bic}{ the the so-called BIC or SBC (Schwarz Bayesian criterion).} @@ -273,6 +278,10 @@ fitdist(data, distr, method = c("mle", "mme", "qme", "mge", "mse"), } \references{ +I. Ibragimov and R. Has'minskii (1981), +\emph{Statistical Estimation - Asymptotic Theory}, Springer-Verlag, +\doi{10.1007/978-1-4899-0027-2} + Cullen AC and Frey HC (1999), \emph{Probabilistic techniques in exposure assessment}. Plenum Press, USA, pp. 81-155. diff --git a/man/mmedist.Rd b/man/mmedist.Rd index 8f5da95e..e4be1802 100644 --- a/man/mmedist.Rd +++ b/man/mmedist.Rd @@ -89,6 +89,13 @@ to the number of parameters to estimate.} This function is not intended to be called directly but is internally called in \code{\link{fitdist}} and \code{\link{bootdist}} when used with the matching moments method. + + Since Version 1.2-0, \code{mmedist} automatically computes the asymptotic covariance matrix + using I. Ibragimov and R. Has'minskii (1981), hence the theoretical moments \code{mdist} + should be defined up to an order which equals to twice the maximal order given \code{order}. + For instance, the normal distribution, we fit against the expectation and the variance + and we need to have \code{mnorm} up to order \eqn{2\times2=4}. + } \value{ @@ -136,6 +143,12 @@ to the number of parameters to estimate.} } \references{ + + +I. Ibragimov and R. Has'minskii (1981), +\emph{Statistical Estimation - Asymptotic Theory}, Springer-Verlag, +\doi{10.1007/978-1-4899-0027-2} + Evans M, Hastings N and Peacock B (2000), \emph{Statistical distributions}. John Wiley and Sons Inc. Vose D (2000), \emph{Risk analysis, a quantitative guide}.