why MLE needs iteration to approximate the parameters?
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Hi Matlab fans,
I try to use mle function in Matlab to get the estimation of parameters.
I notice that in the syntax of mle , it requires to input the start-up guessing of parameters for the custom CDF.
Why? I remember in statistics class, my teacher said, to get the estimation from MLE, only partial derivatives of L function on each parameter is needed. If I substitute variables with corresponding sample value, I can obtain the values of parameters.
Can it be realized by Matlab?
Sincerely, Joy
2 件のコメント
Torsten
2015 年 7 月 24 日
The partial derivatives of the L function with respect to the unknown parameters are set to zero.
Then the resulting system of equations
dL/dp1 = 0
dL/dp2 = 0
...
dL/dp_n = 0
is solved for p_1,p_2,...,p_n.
This is usually a Newton-iteration which converges the better, the better the starting values.
Best wishes
Torsten.
採用された回答
Matt J
2015 年 7 月 24 日
編集済み: Matt J
2015 年 7 月 24 日
only partial derivatives of L function on each parameter is needed.
That's true if the MLE has an analytical solution, which would often be the case in introductory MLE examples in a statistics course. More generally, though, a closed-form solution is not available and the maximizing parameters have to be found through iterative optimization.
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