A common function for this is the logit function: p is parameter constraint between 0 and 1, the logit is ln{p/(1-p)}
-----Original Message-----
From: [email protected] [mailto:[email protected]]On Behalf Of Ed Blackburne
Sent: woensdag 26 oktober 2005 17:42
To: [email protected]
Subject: st: Parmeter remapping
Dear listers,
I have a ml program where a scalar parameter must be on the unit
interval. Naturally, I have had convergence problems in Stata if I set
`lnf'=. if the constraint is not met. I know the proper way is to
reparameterize and let Stata search over the real line. (Example
estimate ln(sig) rather than sig in ml normal regression).
Originally I tried the sigmoid function to remap, with no luck. The
routine does work, however, using cloglog to remap.
My question to the numerical optimization experts, is there a preferred
function to transform "all reals" to (0,1) given this context?
Looking forward to any thoughts,
Ed
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* http://www.ats.ucla.edu/stat/stata/
