Re: Maximum likelihood and Mathematica
- To: mathgroup at smc.vnet.net
- Subject: [mg85295] Re: Maximum likelihood and Mathematica
- From: Jens-Peer Kuska <kuska at informatik.uni-leipzig.de>
- Date: Tue, 5 Feb 2008 06:11:26 -0500 (EST)
- Organization: Uni Leipzig
- References: <fo6hup$rdn$1@smc.vnet.net>
- Reply-to: kuska at informatik.uni-leipzig.de
Hi,
a) NMinimize[] and NMaximize[] do some kind of global optimization
b) but there is never a guarantee that a global extremum is found
all methods for global optimization use heuristics that may work
and find a global extremum or come close to the value of a global
extremum
c) giving good initial estimates may work better
Regards
Jens
snowrain wrote:
> I am doing MLE with Mathematica. When I put the parameters estimated from concentrated loglikelihood function into the gradient, the value is not close to zero. The command I used was "NMaximize". Does it only look for local maximum ?
> When I estimate unconcentrated loglikelihood function, it shows error information that the loglikelihood is a complex number. There must be something wrong with the command that I am using since the concentrated and unconcentrated loglikehood functions should lead to the same estimate.
> I found there is a package "Global Optimization" by Mathematica. Do I have to purchase and use it to find global optimization? And, why do I have different answers from the two loglikelihood functions? How can I check the steps/process of how Mathematica estimates the parameters? Thanks a lot !
>