Re: [R] MLE for noncentral t distribution

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Thu, 08 May 2008 16:02:51 +0100 (BST)

On Thu, 8 May 2008, kate wrote:

> I have a data with 236 observations. After plotting the histogram, I
> found that it looks like non-central t distribution. I would like to get
> MLE for mu and df.

So you mean 'non-central'? See ?dt.

> I found an example to find MLE for gamma distribution from "fitting distributions with R":
>
> library(stats4) ## loading package stats4
> ll<-function(lambda,alfa) {n<-200
> x<-x.gam
> -n*alfa*log(lambda)+n*log(gamma(alfa))-(alfa-
> 1)*sum(log(x))+lambda*sum(x)} ## -log-likelihood function
> est<-mle(minuslog=ll, start=list(lambda=2,alfa=1))
>
> Is anyone how how to write down -log-likelihood function for noncentral t distribution?

Just use dt. E.g.

> library(MASS)
> ?fitdistr

shows you a worked example for location, scale and df, but note the comments. You could fit a non-central t, but it would be unusual to do so.

>
> Thanks a lot!!
>
> Kate
> [[alternative HTML version deleted]]
>
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>

-- 
Brian D. Ripley,                  ripley_at_stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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