R help - Dec 2005 - Testing a linear hypothesis after maximum likelihood

I'd like to be able to test linear hypotheses after setting up and running a
model using optim or perhaps nlm.  One hypothesis I need to test are that
the average of several coefficients is less than zero, so I don't believe I
can use the likelihood ratio test.

I can't seem to find a provision anywhere for testing linear combinations of
coefficients after max. likelihood.

Cheers & happy holidays,

Peter

Why can't you use a likelihood ratio?  I would write two slightly 
different functions, the second of which would use the linear constraint 
to eliminate one of the coefficients.  Then I'd refer 2*log(likelihood 
ratio) to chi-square(1).  If I had some question about the chi-square 
approximation to the distribution of that 2*log(likelihood ratio) 
statistic, I'm use some kind of Monte Carlo, e.g., MCMC.

	  If you'd like more help from this listserve, PLEASE do read the 
posting guide! "www.R-project.org/posting-guide.html".  Anecdotal 
evidence suggests that posts that follow more closely the suggestions in 
that guide tend to get more useful replies quicker.

	  hope this helps.
	  spencer graves


Peter Muhlberger wrote:
> I'd like to be able to test linear hypotheses after setting up and
running a
> model using optim or perhaps nlm.  One hypothesis I need to test are that
> the average of several coefficients is less than zero, so I don't
believe I
> can use the likelihood ratio test.
> 
> I can't seem to find a provision anywhere for testing linear
combinations of
> coefficients after max. likelihood.
> 
> Cheers & happy holidays,
> 
> Peter
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves at pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915

I think the question was appropriate for this list.  If you want to 
do a Wald test, you might consider asking "optim" for
"hessian=TRUE".
If the function that "optim" minimizes is (-log(likelihood)), then the
optional component "hessian" of the output of optim should be the 
observed information matrix.  An inverse of that should then estimate 
the parameter covariance matrix.  I often use that when "nls" dies on 
me, because "optim" will give me an answer.  If the hessian is
singular,
I can sometimes diagnose the problem by looking at eigenvalues and 
eigenvectors of the hessian.

	  hope this helps.
	  spencer graves

####################
On 12/29/05 7:04 AM, "Spencer Graves" <spencer.graves at
pdf.com> wrote:


 >>  Why can't you use a likelihood ratio?  I would write two slightly
 >> different functions, the second of which would use the linear
constraint
 >> to eliminate one of the coefficients.  Then I'd refer
2*log(likelihood
 >> ratio) to chi-square(1).  If I had some question about the chi-square
 >> approximation to the distribution of that 2*log(likelihood ratio)
 >> statistic, I'm use some kind of Monte Carlo, e.g., MCMC.
 >>


Neat solution, thanks!  I didn't see that, having focused my attention on
finding some way to do a Wald test.  I think I was so focused because I
thought it would be good to have some way of testing hypotheses w/o having
to rerun my model every time.


 >>  If you'd like more help from this listserve, PLEASE do read the
 >> posting guide! "www.R-project.org/posting-guide.html". 
Anecdotal
 >> evidence suggests that posts that follow more closely the suggestions
in
 >> that guide tend to get more useful replies quicker.


Ok, I guess you're hinting that I'm violating the 'do your
homework' norm.
I'm not a statistician (I'm a social scientist) & was thinking about
alternatives to the likelihood ratio test, so the self-evident solution you
mention above didn't occur to me.  I did spend a long time trying to figure
out whether there were facilities for Wald tests and whether they might work
w/ ML output.  It wasn't clear what would work & it would have taken
even
more time to try some alternatives out, so I thought I'd just ask the
list--surely people have tests they typically run after ML.

In hindsight, I guess the question as asked was rather dumb, so my
apologies.  Perhaps I should have asked if anyone uses a built-in Wald
function after ML?  Or perhaps even that question is far too basic for a
list composed of such capable people.

Anyway, thanks for the insight!

Peter
#####################################################
	  Why can't you use a likelihood ratio?  I would write two slightly
different functions, the second of which would use the linear constraint
to eliminate one of the coefficients.  Then I'd refer 2*log(likelihood
ratio) to chi-square(1).  If I had some question about the chi-square
approximation to the distribution of that 2*log(likelihood ratio)
statistic, I'm use some kind of Monte Carlo, e.g., MCMC.

	  If you'd like more help from this listserve, PLEASE do read the
posting guide! "www.R-project.org/posting-guide.html".  Anecdotal
evidence suggests that posts that follow more closely the suggestions in
that guide tend to get more useful replies quicker.

	  hope this helps.
	  spencer graves


Peter Muhlberger wrote:
> I'd like to be able to test linear hypotheses after setting up and
running a
> model using optim or perhaps nlm.  One hypothesis I need to test are that
> the average of several coefficients is less than zero, so I don't
believe I
> can use the likelihood ratio test.
> 
> I can't seem to find a provision anywhere for testing linear
combinations of
> coefficients after max. likelihood.
> 
> Cheers & happy holidays,
> 
> Peter
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves at pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915