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gompertz

Gompertz Regression Family Function


Description

Maximum likelihood estimation of the 2-parameter Gompertz distribution.

Usage

gompertz(lscale = "loglink", lshape = "loglink",
         iscale = NULL,   ishape = NULL,
         nsimEIM = 500, zero = NULL, nowarning = FALSE)

Arguments

nowarning

Logical. Suppress a warning? Ignored for VGAM 0.9-7 and higher.

lshape, lscale

Parameter link functions applied to the shape parameter a, scale parameter scale. All parameters are positive. See Links for more choices.

ishape, iscale

Optional initial values. A NULL means a value is computed internally.

nsimEIM, zero

See CommonVGAMffArguments.

Details

The Gompertz distribution has a cumulative distribution function

F(x;alpha, beta) = 1 - exp(-(alpha/beta) * (exp(beta * x) - 1) )

which leads to a probability density function

f(x; alpha, beta) = alpha * exp[-beta * x] * exp[-(alpha/beta) * (exp(beta * x) - 1) ]

for a > 0, b > 0, x > 0. Here, β is called the scale parameter scale, and α is called the shape parameter (one could refer to a as a location parameter and b as a shape parameter—see Lenart (2012)). The mean is involves an exponential integral function. Simulated Fisher scoring is used and multiple responses are handled.

The Makeham distibution has an additional parameter compared to the Gompertz distribution. If X is defined to be the result of sampling from a Gumbel distribution until a negative value Z is produced, then X = -Z has a Gompertz distribution.

Value

An object of class "vglmff" (see vglmff-class). The object is used by modelling functions such as vglm, and vgam.

Warning

The same warnings in makeham apply here too.

Author(s)

T. W. Yee

References

Lenart, A. (2012). The moments of the Gompertz distribution and maximum likelihood estimation of its parameters. Scandinavian Actuarial Journal, in press.

See Also

Examples

## Not run: 
gdata <- data.frame(x2 = runif(nn <- 1000))
gdata <- transform(gdata, eta1  = -1,
                          eta2  = -1 + 0.2 * x2,
                          ceta1 =  1,
                          ceta2 = -1 + 0.2 * x2)
gdata <- transform(gdata, shape1 = exp(eta1),
                          shape2 = exp(eta2),
                          scale1 = exp(ceta1),
                          scale2 = exp(ceta2))
gdata <- transform(gdata, y1 = rgompertz(nn, scale = scale1, shape = shape1),
                          y2 = rgompertz(nn, scale = scale2, shape = shape2))

fit1 <- vglm(y1 ~ 1,  gompertz, data = gdata, trace = TRUE)
fit2 <- vglm(y2 ~ x2, gompertz, data = gdata, trace = TRUE)
coef(fit1, matrix = TRUE)
Coef(fit1)
summary(fit1)
coef(fit2, matrix = TRUE)
summary(fit2)

## End(Not run)

VGAM

Vector Generalized Linear and Additive Models

v1.1-5
GPL-3
Authors
Thomas Yee [aut, cre], Cleve Moler [ctb] (author of several LINPACK routines)
Initial release
2021-01-13

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