From: kate <yhsu6_at_uiuc.edu>

Date: Thu, 08 May 2008 10:45:04 -0500

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Thu 08 May 2008 - 16:56:44 GMT

Date: Thu, 08 May 2008 10:45:04 -0500

In my data, sample mean =-0.3 and the histogram looks like t distribution; therefore, I thought non-central t distribution may be a good fit. Anyway, I try t distribution to get MLE. I found some warnings as follows; besides, I got three parameter estimators: m=0.23, s=4.04, df=1.66. I want to simulate the data with sample size 236 and this parameter estimates. Is the command rt(236, df=1.66)? Where should I put m and s when I do simulation?

m s df

0.2340746 4.0447124 1.6614823

(0.3430796) (0.4158891) (0.2638703)

Warning messages:

1: In dt(x, df, log) : generates NaNs 2: In dt(x, df, log) : generates NaNs 3: In dt(x, df, log) :generates NaNs 4: In log(s) : generates NaNs 5: In dt(x, df, log) : generates NaNs 6: In dt(x, df, log) : generates NaNs

Thanks a lot,

Kate

- Original Message ----- From: "Prof Brian Ripley" <ripley_at_stats.ox.ac.uk> To: "kate" <yhsu6_at_uiuc.edu> Cc: <r-help_at_r-project.org> Sent: Thursday, May 08, 2008 10:02 AM Subject: Re: [R] MLE for noncentral t distribution

> 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]]
**>>
**>> ______________________________________________
**>> R-help_at_r-project.org mailing list
**>> https://stat.ethz.ch/mailman/listinfo/r-help
**>> PLEASE do read the posting guide
**>> http://www.R-project.org/posting-guide.html
**>> and provide commented, minimal, self-contained, reproducible code.
**>>
**>
**> --
**> 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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