A Kiefer-Wolfowitz NPMLE procedure for estimation of a Gaussian model with independent mean and variance components with weighted longitudinal data. This version exploits a Student t decomposition of the likelihood.
WTLVmix(y, id, w, u = 300, v = 300, ...)A list consisting of the following components:
midpoints of the mean bin boundaries
the function values of the mixing density of the means
midpoints of the variance bin boundaries
the function values of the mixing density of the variances.
log likelihood value for mean problem
Bayes rule estimate of the mixing density means.
Bayes rule estimate of the mixing density variances.
Mosek convergence status
A vector of observations
A strata indicator vector indicating grouping of y
A vector of weights corresponding to y
A vector of bin boundaries for the mean effects
A vector of bin boundaries for the variance effects
optional parameters to be passed to KWDual to control optimization
J. Gu and R. Koenker
Koenker, R. and J. Gu, (2017) REBayes: An R Package for Empirical Bayes Mixture Methods, Journal of Statistical Software, 82, 1--26.
WGLVmix for a more general bivariate mixing distribution version