[R] MLE for noncentral t distribution

[Duncan Murdoch]

On 5/8/2008 10:34 AM, kate wrote:
> I have a data with 236 observations. After plotting the histogram, I found that it looks like non-central t distribution. I would like to get MLE for mu and df. 
> 
> I found an example to find MLE for gamma distribution from "fitting distributions with R":
> 
> library(stats4) ## loading package stats4
> ll<-function(lambda,alfa) {n<-200
> x<-x.gam
> -n*alfa*log(lambda)+n*log(gamma(alfa))-(alfa-
> 1)*sum(log(x))+lambda*sum(x)} ## -log-likelihood function
> est<-mle(minuslog=ll, start=list(lambda=2,alfa=1))
> 
> Is anyone how how to write down -log-likelihood function for noncentral t distribution?


dt() has a non-centrality parameter and a log parameter, so it would 
simply be

ll <- function(x, ncp, df) sum(dt(x, ncp=ncp, df=df, log=TRUE))

Make sure you convert mu into the ncp properly; the man page says how 
ncp is interpreted.

Duncan Murdoch