MATLAB Answers

using mle in matlab

43 views (last 30 days)
shalini sharma
shalini sharma on 13 Jan 2021
Commented: shalini sharma on 17 Jan 2021
for a given dataset i need to calculate parameters value using mle where cdf = a*(1-exp(-b*A)) and pdf = a*b*exp(-b*A),if i use following code
A=[6 10 17 20 29 34 38 41 50 55 ];
[phat,pci] = mle(A,'pdf',@(A,x,y) x*y*exp(-y*A),'start',[1,1])
i get
Error using mlecustom>llf_pdfcdf
(line 440)
The PDF function returned negative
or zero values.
Error in fminsearch (line 330)
x(:) = xe; fxe =
Error in mlecustom (line 184)
Error in mle (line 247)
[phat, pci] =
I am not able to understand what is wrong and how to rectify it as i am new to matlab.Please help how sholud i evaluate parameters a and b using mle function in matlab.

Answers (1)

Jeff Miller
Jeff Miller on 13 Jan 2021
One problem is that mle's search function (fminsearch) may try negative parameter values, in which case your pdf function returns a negative value. You could avoid that problem by squaring the parameter values, like this:
[phat,pci] = mle(A,'pdf',@(A,x,y) x^2*y^2*exp(-y^2*A),'start',[1,1])
If you do that, just keep in mind that the "real" x and y values you want are the squares of the phat values returned by mle.
Another problem, though, is that these are not legitimate pdf and cdf functions except when a=1. So, I think you really only have one parameter to estimate here--namely, your y parameter. It looks to me, anyway, like you are fitting an exponential distribution to these A values and looking for the best-fitting rate parameter. That value is 0.03333 = 1/mean(A)
shalini sharma
shalini sharma on 17 Jan 2021
using fsolve i am able to find out the values of parameters a and b (for cdf = a*(1-exp(-b*A)) and pdf = a*b*exp(-b*A)) but i want to evaluate parameters of a cdf and pdf having 5 unknowns which is estimating incorrect values using fsolve (not matching the given results) and therefore i want to compare the results of mle and fsolve to estimate the correct output. So i tried using simpler pdf having known parameters to check which method will be best suited for my model,but i am not able to find correct values of a and b for the given pdf using mle(above mentioned problem). Moreover i dont understand why fsolve,mle and coding (newton ralphson) all gives different values. Since i dont have deep understanding of matlab so i am very confuse which method is best fsolve or mle for estimating parameters (5 to 10) .

Sign in to comment.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!