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Re: Question concerning MLE for model parameter estimation
Posted:
Jan 10, 2013 7:03 AM


<jokulhlaup2@web.de> wrote in message news:db1942d66e4d40c6ae52c4224e4e2186@googlegroups.com... The question arises: what determines the correct likelihood function ? a.) the distributuion of G  the measured values ? b.) the distribution of the residuals g(i)G(i) ?

Neither. You need to start from the conditional distrbution of the observations given the explanatory variables.... don't think intially about "residuals". The usual advice would be to move away from normaltheorybased linear models to the sort of stuff described in http://en.wikipedia.org/wiki/Generalized_linear_model . You will Generalized Linear Models available in most statistical packages and they will be described in many statistical text books that go beyond the most basic stuff.



