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Topic: Maximum Likelihood Estimation problems
Replies: 1   Last Post: May 16, 2014 11:00 AM

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Tak

Posts: 1
Registered: 5/16/14
Maximum Likelihood Estimation problems
Posted: May 16, 2014 9:26 AM
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Hello Matlab community,

I am very new to Matlab and I am currently using it for a few optimization problems since it facilitates work compared to other programmes.

My problem is the following:

I have the loglikelihood function:

f(u1,u2,u3 | Alpha) = sum((log(ones(100,1)*(1+Alpha))+log(ones(100,1)*(1+2*Alpha))+(log(u1)+log(u2)+log(u3))*(-Alpha-1)+log(diag(diag(u1)^-Alpha+diag(u2)^-Alpha+diag(u3)^-Alpha)-ones(100,1)*2)*(-1/Alpha-3)));

In fact it is a function with three given vectors (u1,u2,u3) and one parameter ("Alpha").

My goal is to maximize this function by changing the parameter "Alpha", where Alpha ? 0.

I have already tried figuring out how this can be achieved by reading descriptions on functions like MLE and FMINCON but everything I got are error messages which didn't get me anywhere.

I would be thankful for any help!

Cheers,
Tom



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