I am trying to estimate a MLE for an exponential distribution using
fmincon in Maltab. I am having problem to estimate my parameter. For instance, I simulate an exponential distribution with a chosen parameter and then use the simulated data in my MLE. I therefore hope to find the same parameter that I generated my simulated data with. The problem that I have is that I can't get
fmincon to evaluate the correct parameter...it always give me my upper bound (bound set prior to estimation) of my parameter. Why? I was told that a MLE can be very sensitive to the data...the structure of the data.
Any insights for me?