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Use NMinimize for MonteCarloFitting???

  • To: mathgroup at smc.vnet.net
  • Subject: [mg131938] Use NMinimize for MonteCarloFitting???
  • From: dilana78 <mail at vasso.de>
  • Date: Mon, 4 Nov 2013 23:15:59 -0500 (EST)
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  • Delivered-to: l-mathgroup@wolfram.com
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Hi,
I am trying to estimate parameters from my statistical model by curve fitting. The model has several paramters which follow truncated normal distributions.The combination of the parameters within the model is non-linear.I run a MonteCarlo simulation to get a distribution of results from the model and this result I need to fit to a dataset.
Coming from this problem I coded an objective Function which needs to be minimized which then gives me the optimal paramters. If I implement this in mathematica with NMinimize I get the following error: 
RandomVariate::posprm: Parameter ss at position 2 in NormalDistribution[mmu,ss] is expected to be positive. >>
Can't NMinimize handle non analytic functions (I need to evaluate in each step a pool of data with MonteCarlo)? If it won't work with NMinimize, is there something I can fit data to a function whose parameters each follow certain distributions? (z.b. a Log[c], a  and c are paramters which are both (truncated) normal distributed).
thanks, Dilana





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