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MathGroup Archive 2004

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Maximizing likelihood function

  • To: mathgroup at smc.vnet.net
  • Subject: [mg51443] Maximizing likelihood function
  • From: Ming Hsu <hsu at charter.net>
  • Date: Sun, 17 Oct 2004 03:06:17 -0400 (EDT)
  • Organization: California Institute of Technology, Pasadena
  • Sender: owner-wri-mathgroup at wolfram.com

Hi, I have a logit function that I would like to estimate using Nmaximize.
I run into a problem when the function gets too close to 0 or 1, resulting
in the function returning Indeterminate after taking Log[0].  I tried to fix
this by changing the function

    F[data_, param_] := Logit[data, param] /. {0->10^-5} /. {1->1-10^-5})

Since those points are not going to be the max anyway.  But when I use
Nmaximize, it seems that the replacement rule is not obeyed, and the
Indeterminates are still returned.

Is there a way to force Nmax to use the replacement?  Alternatively
different solutions would also be appreciated, since this seems to be a
pretty clunky solution.

Thanks in advance,
Ming Hsu


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