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From | Sarit Weisburd <sarit.weisburd@mail.huji.ac.il> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: MLE Estimation of Poisson process |
Date | Tue, 8 Nov 2011 21:21:58 +0200 |
Dear statalist, I have been estimating a poisson process with time-varying covariates using the streg command but want to make sure streg is doing what I understand it should be. I therefore am trying to manually reach the same results via maximum likelihood estimation but cannot figure out how to tell stata to calculate the log likelihood function which includes an integral: This is the log likelihood function, Q(beta)=I ( xbeta* (dN(t) - exp(xbeta)) ) where dN(t) is a dummy variable equal to 0/1 (as in Cook & Lawless - chapter 3.2). I=integral The reason for the integral is that I am examining a duration with time varying covariates. For example - looking at the duration between car accidents in a given location - and want to control for traffic flow that changed multiple times in that duration. What I would like stata to do is calculate the integral as a sum of xbeta*(dN(t)-exp(xbeta)) over all splits in a given duration and then I could continue with MLE estimation. Does anyone have any suggestions about how this could be done? Thanks, Sarit * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/