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Topic: Question concerning MLE for model parameter estimation
Replies: 2   Last Post: Jan 10, 2013 7:03 AM

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David Jones

Posts: 324
Registered: 2/28/07
Re: Question concerning MLE for model parameter estimation
Posted: Jan 10, 2013 7:03 AM
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<jokulhlaup2@web.de> wrote in message
news:db1942d6-6e4d-40c6-ae52-c4224e4e2186@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) ?

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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
normal-theory-based 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.






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