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3 questions
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Weighing Maximum Likelihood Estimations
I'm trying to arrive at a time series of optimized parameter values $Z_t$ that maximizes the likelihood of occurrence of a specific time series $Y_t$. There is a subsample within the sample that ...
2
votes
1
answer
455
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Likelihood for dependent data above a threshold
Let $(Y_t)$ a real-valued stationary Markov chain and $u$ some positive threshold. We assume that for $y>u$,
$$Y_{t+1}|\{Y_t=y\}\sim\mathcal{N}(\alpha y+\mu y^\beta,\sigma^2 y^{2\beta})$$
I want ...
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2
votes
2
answers
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Most suitable algorithm for optimizing Maximum likelihood function
What is the most suitable optimization algorithm for optimizing maximum likelihood estimator? In excel I used GRG non linear optimization algorithm, is that good enough?
I want to write my own code ...
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