Thanks Nick. I will try and modify the existing program.
Indranil
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Nick Cox
Sent: Thursday, April 14, 2005 5:26 PM
To: [email protected]
Subject: st: RE: RE: RE: Fitting a t distribution
In your first email you clearly identify that the parameters are df,
scale and shift. You are not obliged to specifying starting
values in an -ml- program, if that is your question.
I am not aware that any program pre-exists to do
what you want. But a program like -gammafit- gives
you a template that just needs modifying for your
case.
Nick
[email protected]
Indranil Majumdar
> I am trying to fit the t-distribution to my data. Hence, I
> don't know the
> parameters to start with because that's what I want to estimate. I was
> wondering if something is available for the t along the lines
> of 'gammafit',
> 'betafit' available on the ssc website.
Nick Cox
> I am puzzled by this question. But yes,
> if you wish to maximize a likelihood function,
> -ml- is exactly the right command. And Al
> Feiveson was exactly right in pointing you
> towards -tden()-.
Indranil Majumdar
> > I am trying to maximize a log-likelihood function involving 3
> > parameters (in
> > particular, it is the log-likelihood of the t distribution
> > with a shift and
> > scale parameter). The documentation for the -ml model-
> > command requires an
> > equation to be specified. In my case I am not sure what that
> > equation ought
> > to be. My objective is to 'search' for the optimal values of the 3
> > parameters - degrees of freedom, shift parameter and scale
> > parameter that
> > maximize the log-likelihood function.
> > Is the -ml- command appropriate for this purpose? Could
> > somebody clarify?
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