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## Copyright (C) 2003, 2004 Michael Creel <michael.creel@uab.es>
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU General Public License as published by the Free Software
## Foundation; either version 3 of the License, or (at your option) any later
## version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public License along with
## this program; if not, see <http://www.gnu.org/licenses/>.
## Example to show how to use MLE functions
# Generate data
n = 1000; # how many observations?
# the explanatory variables: note that they have unequal scales
x = [ones(n,1) -rand(n,1) randn(n,1)];
theta = 1:3; # true coefficients are 1,2,3
theta = theta';
lambda = exp(x*theta);
y = poissrnd(lambda); # generate the dependent variable
####################################
# define arguments for mle_results #
####################################
# starting values
theta = zeros(3,1);
# data
data = [y, x];
# name of model to estimate
model = "poisson";
modelargs = {0}; # if this is zero the function gives analytic score, otherwise not
# parameter names
names = char("beta1", "beta2", "beta3");
mletitle = "Poisson MLE trial"; # title for the run
# controls for bfgsmin: 30 iterations is not always enough for convergence
control = {50,0};
# This displays the results
printf("\n\nanalytic score, unscaled data\n");
[theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, mletitle, 0, control);
# This just calculates the results, no screen display
printf("\n\nanalytic score, unscaled data, no screen display\n");
theta = zeros(3,1);
[theta, obj_value, convergence] = mle_estimate(theta, data, model, modelargs, control);
printf("obj_value = %f, to confirm it worked\n", obj_value);
# This show how to scale data during estimation, but get results
# for data in original units (recommended to avoid conditioning problems)
# This usually converges faster, depending upon the data
printf("\n\nanalytic score, scaled data\n");
[scaled_x, unscale] = scale_data(x);
data = [y, scaled_x];
theta = zeros(3,1);
[theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, mletitle, unscale, control);
# Example using numeric score
printf("\n\nnumeric score, scaled data\n");
theta = zeros(3,1);
modelargs = {1}; # set the switch for no score
[theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, mletitle, unscale, control);
# Example doing estimation in parallel on a cluster (requires MPITB)
# uncomment the following if you have MPITB installed
# theta = zeros(3,1);
# nslaves = 1;
# title = "MLE estimation done in parallel";
# [theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, mletitle, unscale, control, nslaves);
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