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Re: st: Imposing bounds on parameters estimated with -optimize-
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: Imposing bounds on parameters estimated with -optimize-
Date
Thu, 15 Sep 2011 09:21:15 +0200
On Thu, Sep 15, 2011 at 12:13 AM, Lacy,Michael wrote:
> I'm using Mata's -optimize- to maximize a function. All items in the parameter vector must fall between 0 and 1; other values do not make sense. <snip> Is there some other, better way to impose bounds on parameters estimated with -optimize-"
You can use the same tricks as in -ml-, that is, maximize with respect
to a transformed version of the parameter. So, if you model a variance
you can maximize with respect to ln(variance), if you model a
probability you can maximize with respect to logit(pr), if you model a
correlation you maximize with respect to tanh(rho) (that is the
Fisher's z transformation of rho). In all these cases the transformed
version can take any value while the original parameter respects the
bounds. For more see:
<http://www.stata.com/support/faqs/stat/intconst.html>
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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