[R-SIG-Finance] Grouped Log Likelihood function??
Brian G. Peterson
brian at braverock.com
Mon Nov 2 19:01:01 CET 2009
Noah,
You'll likely get more complete responses from the main r-help list, as
your problem is more of a statistics problem than a finance problem.
Regards,
- Brian
Noah Silverman wrote:
> Hi,
>
> I'm still fairly new to R and this is my first time posting to this
> group.
>
> I've searched rseek.org high and low and can't seem to find an answer
> to this.
>
> I want to maximize likelihood for a set of training data, but the data
> is grouped. (Think multiple trials.)
>
> It would probably be possible to do this with some nested for loops
> manually, but would be painfully slow.
>
> The general formula is this... (Please excuse my notation, but I
> can't write proper math formulas in an email.)
>
> L(a) = product(
> for( trial in 1:length(groups)){
> exp(a(i) * X) / sum(exp(a(i) * X))
> }
> )
>
> As you can see, a normal logLik function will lose all the group data.
> This seems like a common enough application that there must me some
> easy function in R.
>
> THEN, just to complicate things, I need to run a second logLik with
> some trickier data. There are 14 variables and I need to adjust them
> all to find the maximum likelihood from a formula. (kelly criterion on
> entries in a portfolio.)
>
> Any suggestions would be gratefully appreciated.
>
> Thanks!
>
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