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Re: Bivariate Normal Distributions -- can they be estimated in my lifetime?

Luci Ellis wrote:

> I have given up on several weeks of work trying to do maximum likelihood
> estimation of a bivariate probit model (ie two binary decisions that
> are correlated). The likelihood function itself is easy to construct,
> and in principle should be easy to maximise (using FindMinimum[] on its
> negative) because the PDF of the bivariate normal distribution is
> single-peaked.
> However, it appears impossible to do this on a desktop computer. 

I have written a short Notebook on a number of ways for computing the
PDF of the bivariate normal distribution.  It is available at

> Chris Farr has previously suggested using a discrete approximation of
> the CDF, but I am concerned that the approximation error would get too
> large, making my results unreliable.

Possibly -- but how accurately do you need the PDF?

> Gauss and Stata can both do this -- why can't Mathematica? 

An interesting question: "How accurate are the PDF produced using these

> I accept that a general package like Mathematica is going to be slower
> than a specialised package like Stata or Shazam -- but the margin needs
> to be smaller if Mathematica is to be usable in this context.

I think Mathematica certainly _is_ usable in this context!


Paul Abbott                                   Phone: +61-8-9380-2734
Department of Physics                           Fax: +61-8-9380-1014
The University of Western Australia            Nedlands WA  6907       
mailto:paul at  AUSTRALIA              

            God IS a weakly left-handed dice player

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