Re: FindDistributionParameters
- To: mathgroup at smc.vnet.net
- Subject: [mg126779] Re: FindDistributionParameters
- From: Julian Haw <julianhaw at gmail.com>
- Date: Thu, 7 Jun 2012 05:18:18 -0400 (EDT)
- Delivered-to: l-mathgroup@mail-archive0.wolfram.com
- References: <201205290947.FAA06712@smc.vnet.net>
Thanks for the response. How would NMaximize be initialized then? I know
it probably varies by the function, but could you give a typical example of
an initialization for a numerical search for an MLE type function?
On Tue, May 29, 2012 at 10:38 AM, Darren Glosemeyer <darreng at wolfram.com>wrote:
> On 5/29/2012 4:47 AM, Julian wrote:
>
>> I was wondering how FindDistributionParameters chooses an initial
>> point in the MLE search procedure when none is specified. That is,
>> the function numerically fits a distribution onto some empirical data,
>> and it does so even when I do not give the function the initial point
>> in the form FindDistributionParameters[**data,distribution,
>> {{param1,init1},{param2,init2}**,...}], but rather simply
>> FindDistributionParameters[**data,distribution]. I would like to know
>> how Mathematica initializes its search for parameters in the latter
>> case. Any insight would be greatly appreciated.
>>
>>
> It varies by distribution. A few distributions have closed forms for MLEs.
> In many cases method of moments estimates can be obtained fairly quickly
> and these are used as starting values. In other cases quantile-based
> estimates or estimates based on series or other approximations are used. In
> cases where the default parameter estimation is done via NMaximize,
> NMaximize's initialization is used.
>
> Darren Glosemeyer
> Wolfram Research
>