The Math Forum

Search All of the Math Forum:

Views expressed in these public forums are not endorsed by NCTM or The Math Forum.

Math Forum » Discussions » Software » comp.soft-sys.matlab

Notice: We are no longer accepting new posts, but the forums will continue to be readable.

Topic: Maximum Likelihood Estimation with of VAR with fminsearch
Replies: 1   Last Post: Mar 7, 2013 2:50 PM

Advanced Search

Back to Topic List Back to Topic List Jump to Tree View Jump to Tree View  
Matt J

Posts: 4,997
Registered: 11/28/09
Re: Maximum Likelihood Estimation with of VAR with fminsearch
Posted: Mar 7, 2013 2:50 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

"Kyriacos " <> wrote in message <khab94$8pb$>...
> Hi everyone,
> I am trying to create a code that does ML estimation of a Vector Autoregression System (VAR) of two variables with one lag. My idea is to use "fminsearch" in order to minimise the -1*(log-likelihood). However, I am doing a mistake and I do not see where. In particular, the algorythm seems to get stuck close to the initial conditions, whichever those are. The log-likelihood function is:


Your likelihood function code contains random quantities in it. It should not. FMINSEARCH (and maximum likelihood theory as well) assumes that your function will be the same function of x every time it gets evaluated.

Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© The Math Forum at NCTM 1994-2018. All Rights Reserved.