maxLik: A package for maximum likelihood estimation in R

被引：422

作者：

Henningsen, Arne ^{[1
]}

Toomet, Ott ^{[2
,3
]}

机构：

[1] Univ Copenhagen, Inst Food & Resource Econ, DK-1958 Frederiksberg C, Denmark

[2] Univ Aarhus, Aarhus Sch Business, Dept Econ, DK-8230 Abyhoj, Denmark

[3] Univ Tartu, Dept Econ, EE-51009 Tartu, Estonia

来源：

COMPUTATIONAL STATISTICS | 2011年 / 26卷 / 03期

关键词：

Maximum likelihood; Optimization; FUNCTION MINIMIZATION; ALGORITHMS; MODELS;

D O I：

10.1007/s00180-010-0217-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper describes the package maxLik for the statistical environment R. The package is essentially a unified wrapper interface to various optimization routines, offering easy access to likelihood-specific features like standard errors or information matrix equality (BHHH method). More advanced features of the optimization algorithms, such as forcing the value of a particular parameter to be fixed, are also supported.

引用

页码：443 / 458

页数：16

共 22 条

[1]

[Anonymous], 1990, 153 AT T BELL LAB

[2]

ARDIA D, 2010, DEOPTIM GLOBAL OPTIM

[3] CONVERGENCE THEOREMS FOR A CLASS OF SIMULATED ANNEALING ALGORITHMS ON R(D) [J].

BELISLE, CJP .

JOURNAL OF APPLIED PROBABILITY, 1992, 29 (04) :885-895

[4]

BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653

[5]

Bolker B.M., 2009, bbmle: Tools for general maximum likelihood estimation

[6]

Broyden C.G., 1970, IMA J APPL MATH, V6, P76, DOI [10.1093/imamat/6.1.76, DOI 10.1093/IMAMAT/6.1.76]

[7] ALTERNATIVE COVARIANCE ESTIMATORS OF THE STANDARD TOBIT-MODEL [J].

CALZOLARI, G ;

FIORENTINI, G .

ECONOMICS LETTERS, 1993, 42 (01) :5-13

[8]

CARLEVARO F, 2010, MHURDLE ESTIMATION M

[9]

Croissant Y, 2010, PGLM PANEL GEN LINEA

[10]

Croissant Y., 2009, TRUNCREG TRUNCATED R

← 1 2 3 →