Re: [R] R and MLE

From: Kjetil Brinchmann Halvorsen <kjetil_at_acelerate.com>
Date: Wed 08 Jun 2005 - 02:40:14 EST

Ajay Narottam Shah wrote:

>I learned R & MLE in the last few days. It is great! I wrote up my
>explorations as
>
> http://www.mayin.org/ajayshah/KB/R/mle/mle.html
>
>I will be most happy if R gurus will look at this and comment on how
>it can be improved.
>
>
>
>I have a few specific questions:
>
>* Should one use optim() or should one use stats4::mle()?
>
> I felt that mle() wasn't adding much value compared with optim, and
> in addition, I wasn't able to marry my likelihood functions to it.
>
>* One very nice feature of mle() is that you can specify a few
> parameters which should be fixed in the estimation. How can one
> persuade optim() to behave like that?
>
>
>
give optim() a function to optimize which do not depend on those parameters ...

>* Can one use deriv() and friends to get analytical derivatives of
> these likelihood functions? I found I wasn't able to make headway
> when I was using vector/matrix notation. I think the greatness of R
> lies in a lovely vector/matrix notation, and it seems like a shame
> to have to not use that when trying to do deriv().
>
>* For iid problems, the computation of the likelihood function and
> it's gradient vector are inherently parallelisable. How would one go
> about doing this within R?
>
>
>
Kjetil

-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra





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Received on Wed Jun 08 07:38:49 2005

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