Profile likelihood for the endpoint of the generalized Pareto distribution

This function returns the profile log likelihood over a grid of values of psi, the endpoints.

Usage

prof_gp_endpt(
  time,
  time2 = NULL,
  event = NULL,
  thresh = 0,
  type = c("right", "left", "interval", "interval2"),
  ltrunc = NULL,
  rtrunc = NULL,
  weights = rep(1, length(time)),
  psi = NULL,
  confint = FALSE,
  level = 0.95,
  arguments = NULL,
  ...
)

Arguments

time: excess time of the event of follow-up time, depending on the value of event
time2: ending excess time of the interval for interval censored data only.
event: status indicator, normally 0=alive, 1=dead. Other choices are TRUE/FALSE (TRUE for death). For interval censored data, the status indicator is 0=right censored, 1=event at time, 2=left censored, 3=interval censored. Although unusual, the event indicator can be omitted, in which case all subjects are assumed to have experienced an event.
thresh: vector of thresholds
type: character string specifying the type of censoring. Possible values are "right", "left", "interval", "interval2".
ltrunc: lower truncation limit, default to NULL
rtrunc: upper truncation limit, default to NULL
weights: weights for observations
psi: mandatory vector of endpoints at which to compute the profile
confint: logical; if TRUE, return a level confidence interval instead of a list with the profile log-likelihood components
level: numeric; the level for the confidence intervals
arguments: a named list specifying default arguments of the function that are common to all elife calls
...: additional parameters, currently ignored

Value

a list with the maximum likelihood estimate of the endpoint and the profile log-likelihood

Examples

set.seed(2023)
time <- relife(n = 100, scale = 3, shape = -0.3, family = "gp")
endpt <- prof_gp_endpt(
  time = time,
  psi = seq(max(time) + 1e-4, max(time) + 40, length.out = 51L))
print(endpt)
#> Parameter: endpoint 
#> Maximum likelihood estimator:  10.77 
plot(endpt)

confint(endpt)
#>  Estimate  Lower CI  Upper CI 
#> 10.769592  9.168439 22.908076