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Re: Maximization of a Likelihood Function
On 8/22/08 at 3:10 AM, gregory.lypny at videotron.ca (Gregory Lypny) wrote: >Just curious to know if anyone has written a Mathematica routine to >maximize a likelihood function. I'd like to tinker with one and >apply it to multivariate GARCH if that is possible. I know that the >Time Series package has a univariate GARCH command, but I am unaware >of any multivariate routines. There is no need to write a routine to maximize a likelihood function. The built-in commands, Maximize or NMaximize will handle multiple dimensions. All that is needed is a correctly formulated likelihood function and to use correct syntax with either Maximize or NMaximize.