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beta2
2013 Apr 10
0
mle function
Hallo,
I'm working with the mle function and I would like to ask you a couple
of questions.
My goal is to construct the historical value of v1(t), v2(t) and
v3(t) using the maximum likelihood estimation.
So, I need to optimize the following log-likelihood:
sum(E1_f[t,]*(v1*teta1[] + v2*teta2[] + v3*teta3[]) - E_f[t,]*log(1 +
exp(v1*teta1[] + v2*teta2[] + v3*teta3[])))
(E_f and E1_f are 136x111 matrices and teta1,teta2 and teta3 are
111x1 vectors).
By writing the code below, I just obtain the result for t=1.
################
library(stats4)
likelihood <- function(v1,v2,v3){...