[R-SIG-Finance] How to do multivariate MLE?
Ajay Shah
ajayshah at mayin.org
Tue Aug 7 06:29:47 CEST 2007
On Mon, Aug 06, 2007 at 11:53:58PM -0400, Hung-Te(Stanley) Chu wrote:
> Hi,
>
> If I generate random variables, X, from the bivariate t distribution with df
> = 3:
> x <- rmvt(n=10, sigma = diag(2), df = 3)
>
> Now I want to perform MLE to "back out" the df. To do so, I define a
> function loglik:
>
> loglik <- function(v){
> a <- 0.5;
> b <- 0.5*v;
> sum( -log( (1+x/v)^-((v+1)/2) ) + log( beta(a,b)*sqrt(v) ) )
> }
>
> And then I use "nlminb()" to solve it. Somehow this setup is incorrect and I
> don't know why.
>
> Can anyone give me an example about how to do multivariate MLE?
You might find
http://www.mayin.org/ajayshah/KB/R/documents/mle/mle.html to be useful.
--
Ajay Shah http://www.mayin.org/ajayshah
ajayshah at mayin.org http://ajayshahblog.blogspot.com
<*(:-? - wizard who doesn't know the answer.
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