All Questions
Tagged with extreme-value likelihood
15 questions
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How to choose the wanted root of the maximum likelihood function when there are multiple roots?
I need to estimate a parameter of a distribution but I don't have an explicit estimator. I decided to do a partition of the interval range for the parameter and use the newton-raphson method to find ...
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212
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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 ...
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319
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Choose best binning for binned maximum likelihood fit?
I am trying to find the strength of signal over a background using a continuous variable, whose distributions are known for the expected signal, the expected background, and the observed data, along ...
- 11
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238
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What are arguments against using the (log-)likelihood as a loss function?
Context: My goal is to fit a GEV distribution function to data $z$, where the location parameter is parametrised as linear combination of predictor variables $\mu(\vec{x}) = \mu_0 + \mu_1 x_1 + ...$ (...
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Is it meaningful to regularise a GEV log-likelihood?
Situation/Data: I'd like to start with an example from climate science. Suppose you have a univariate time series $\vec{z} = (z_1, z_2, ..., z_n)^T$, where $z_t$ are block maxima of time step $t\in1,.....
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Computing the Hessian of maximum log likelihood function
I am trying to find the Hessian matrix for the maximum log likelihood function given training data ${(xi, yi)}$ for $i=1:N$ with $yi ∈ \left\{+1, −1\right\}$ for each $i = 1,\dots, N$ for the function:...
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99
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3-level hierarchical model and ferquentist approach
Could I use maximum likelihood method or any other frequenist method to estimate parameters for 3-level hierarchical model?
Is there any references help me in this case?
Thank you
- 11
2
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Estimating the number of degrees of freedom in a chi-squared distribution
I have generated $n=1000$ samples according to a chi-squared distribution $\chi^2(k)$ using a fixed number of degrees of freedom $k=2$ with MATLAB (chi2rnd function). I just would like to estimate the ...
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How do u find the log likelihood function of Y^1/2 = XB + u?
Let $Y_i>0$ for all $Y_i$ and $u_i \sim N(0,\sigma^2)$. Where the $u_i$ are iid.
How do you find the log-likelihood function of $Y_i ^{1/2} = B X_i + u_i$?
I am confused because the dependent ...
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2
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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 ...
- 233
4
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955
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R - MLE of modified Champernowne density
I've come across an article (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=704903), in which author wrote about maximum likelihood estimates of parameters in the so called modified Champernowne ...
- 349
1
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99
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Fitting of bivariate data to a self-defined probability density function
I have a bivariate set of data points which I want to fit to a self-defined distribution (i.e. not standard normal or chi-square or like that, a different, let's say "new" density function). I would ...
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2
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2k
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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 ...
- 205
4
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6k
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Minimizing relative error (or mean square error) and maximizing likelihood
I'm not a statistician, so I would appreciate an answer in the simplest possible words.
I've read that, in some sense, when we minimize the mean square error, we are maximizing the likelihood.
This ...
- 83
3
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Who invented profile maximum likelihood estimation?
Could anyone give me some information on who invented profile maximum likelihood estimation or who first use profile maximum likelihood estimation and the short history of profile maximum likelihood ...
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