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2013 Apr 10
0
mle function
...9;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){ for (t in 1...