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Thread Subject:
fminsearch mle parameters

Subject: fminsearch mle parameters

From: dert

Date: 13 Jan, 2013 08:31:13

Message: 1 of 3

Hi,
i'm trying to estimate the parameters of log likelihood function by using fminsearch. i have three parameters;
x(1),x(2),x(3) and the set of valid parameters for x(1)-->[0,20] , for x(2)---> [0,1000], for x(3)---> [0,5000]. i want to find the estimated parameters in this set. So
i have to add some conditions to fminsearch. Namely, to discourage the algorithm from finding local minumum outside the set of valid parameters, i have to define the log likelihood to be negative infinity for values outside this set. Then i have to restart the algorithm until no improvement could be found in 20 consecutive runs. But i don't know how to do this. Is this possible?? for fminsearch, my starting point x0:[20*rand,1000*rand,5000*rand]. Can anyone please help me??

Subject: fminsearch mle parameters

From: Chenge Qu

Date: 14 Jan, 2013 02:42:10

Message: 2 of 3

"dert " <dert2221907@yandex.com> wrote in message <kctrch$ia4$1@newscl01ah.mathworks.com>...
> Hi,
> i'm trying to estimate the parameters of log likelihood function by using fminsearch. i have three parameters;
> x(1),x(2),x(3) and the set of valid parameters for x(1)-->[0,20] , for x(2)---> [0,1000], for x(3)---> [0,5000]. i want to find the estimated parameters in this set. So
> i have to add some conditions to fminsearch. Namely, to discourage the algorithm from finding local minumum outside the set of valid parameters, i have to define the log likelihood to be negative infinity for values outside this set. Then i have to restart the algorithm until no improvement could be found in 20 consecutive runs. But i don't know how to do this. Is this possible?? for fminsearch, my starting point x0:[20*rand,1000*rand,5000*rand]. Can anyone please help me??

Hello,

What function are you currently using fminsearch on? I might try something like this:

function estimator = estimator(x, data)
  if x outside valid range, estimator = infinity
  else estimator = regular MLE estimator

(By the way, this is the MLE estimator I use and it's always worked well for me: http://www.nature.com/nmeth/journal/v7/n5/full/nmeth0510-338.html )

As for the other part of your question, I'm not quite sure what you're asking, but you can set the termination tolerance of your parameters with TolX in fminsearch's options.

Hope this helps somewhat!

Chenge

Subject: fminsearch mle parameters

From: dert

Date: 14 Jan, 2013 11:53:07

Message: 3 of 3

Hello Chenge
Firstly, thank you for your interest and useful helping. i use the following function. i use datas to evaluate the function
a=[636 720 768 688 712 624 772 748 632 676 704 760 668 700 728 652 692 636 596 808 ] %%population data
for j=1:(length(a)-1)
      f=@(x)(((a(j+1)-x(1)*a(j)*exp(a(j)/(x(2)))+a(j))^2)/(2*x(3)*x(3)*x(1)*a(j)*exp(-a(j)/(x(2))))+log(sqrt(2*3.141592654*x(3)*x(3)*x(1)*a(j)*exp(-a(j)/(x(2))))));
            
       flog=@(x)(f(x)+flog(x));
       end

i am using " flog " function for fminsearch. this is the log likelihood function getting from the following population model;
a(t+1)=f(a(t))+s*sqrt(f(a(t)))*epsilon(t) , epsilon(t)~N(0,1), f(a(t))=b*n*exp(a(t)/n)

so i want to estimate b,n,s parameters, Namely respectively x(1),x(2),x(3)

also thank you for the paper, but i can't access for free, are there another way to dowload it for free?

Best regards,

Erdem



>
> Hello,
>
> What function are you currently using fminsearch on? I might try something like this:
>
> function estimator = estimator(x, data)
> if x outside valid range, estimator = infinity
> else estimator = regular MLE estimator
>
> (By the way, this is the MLE estimator I use and it's always worked well for me: http://www.nature.com/nmeth/journal/v7/n5/full/nmeth0510-338.html )
>
> As for the other part of your question, I'm not quite sure what you're asking, but you can set the termination tolerance of your parameters with TolX in fminsearch's options.
>
> Hope this helps somewhat!
>
> Chenge

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