Hey,
I've got a problem with the estimation of a multivariate t-distribution.
I've got 200 observations vor 20 variables.
Now I want to estimate the parameters of the densityfunction of the
multivarate t-distribution with mean=0.
I found a function mst.mle in the package sn, but here it is
Brian Ripley sometimes on this list or elsewhere suggested to
reparametrize as 1/k. I have used that with good results. But you
should be aware that
usually data contains very little information about k, so thhat
if you do not have a lot more than 100 observations you coukld
be out of luck. You
Given X1,...,Xn ~ t_k(mu,sigma) student t distribution with k degrees
of freedom, mean mu and standard deviation sigma, I want to obtain the
MLEs of the three parameters (mu, sigma and k). When I try traditional
optimization techniques I don't find the MLEs. Usually I just get
k-infty. Does
k - infinity gives the normal distribution. You probably don't care
much about the difference between k=1000 and k=10, so you might
try reparametrizing df on [1,infinity) to a parameter on [0,1]...
albyn
On Thu, Dec 10, 2009 at 02:14:26PM -0600, Barbara Gonzalez wrote:
Given X1,...,Xn ~
Thank you.
I actually found fitdistr() in the package MASS, that estimates the
df, but it does a very bad job. I know that the main problem is that
the t distribution has a lot of local maxima, and of course, when
k-infty we have the Normal distribution, which has nice and easy to
obtain MLEs.
I
... gamlss has a great
documentation, but it's a bit overwhelming.
Kind regards
Susanne
Susanne Balzer
PhD Student
Institute of Marine Research
N-5073 Bergen, Norway
Phone: +47 55 23 69 45
susanne.balzer at imr.no
www.imr.no
[R] MLE for noncentral t distribution
]
k To: kate [EMAIL PROTECTED]
k Cc: r-help@r-project.org
k Sent: Thursday, May 08, 2008 10:02 AM
k Subject: Re: [R] MLE for noncentral t distribution
On Thu, 8 May 2008, kate wrote:
I have a data with 236 observations. After plotting the histogram, I
found
, log) : generates NaNs
k Thanks a lot,
k Kate
k - Original Message -
k From: Prof Brian Ripley [EMAIL PROTECTED]
k To: kate [EMAIL PROTECTED]
k Cc: r-help@r-project.org
k Sent: Thursday, May 08, 2008 10:02 AM
k Subject: Re: [R] MLE for noncentral t
I have a data with 236 observations. After plotting the histogram, I found that
it looks like non-central t distribution. I would like to get MLE for mu and
df.
I found an example to find MLE for gamma distribution from fitting
distributions with R:
library(stats4) ## loading package stats4
On 5/8/2008 10:34 AM, kate wrote:
I have a data with 236 observations. After plotting the histogram, I found that it looks like non-central t distribution. I would like to get MLE for mu and df.
I found an example to find MLE for gamma distribution from fitting distributions
with R:
On Thu, 8 May 2008, kate wrote:
I have a data with 236 observations. After plotting the histogram, I
found that it looks like non-central t distribution. I would like to get
MLE for mu and df.
So you mean 'non-central'? See ?dt.
I found an example to find MLE for gamma distribution from
Message -
From: Duncan Murdoch [EMAIL PROTECTED]
To: kate [EMAIL PROTECTED]
Cc: r-help@r-project.org
Sent: Thursday, May 08, 2008 9:46 AM
Subject: Re: [R] MLE for noncentral t distribution
On 5/8/2008 10:34 AM, kate wrote:
I have a data with 236 observations. After plotting the histogram
QRMlib has routines for fitting t distributions. Have a look at that
package. Also sn has routines for skew-t distributions
David Scott
On Thu, 8 May 2008, kate wrote:
I have a data with 236 observations. After plotting the histogram, I found that
it looks like non-central t
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