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st: RE: RE: Fitting a t distribution


From   "Indranil Majumdar" <imajumdar@creditsights.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Fitting a t distribution
Date   Thu, 14 Apr 2005 17:18:26 -0400

I am trying to fit the t-distribution to my data. Hence, I don't know the
parameters to start with because that's what I want to estimate. I was
wondering if something is available for the t along the lines of 'gammafit',
'betafit' available on the ssc website.

Thanks,
Indranil

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: Wednesday, April 13, 2005 10:17 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Fitting a t distribution

I am puzzled by this question. But yes, 
if you wish to maximize a likelihood function, 
-ml- is exactly the right command. And Al 
Feiveson was exactly right in pointing you 
towards -tden()-. 

Nick 
n.j.cox@durham.ac.uk 

Indranil Majumdar
 
> I am trying to maximize a log-likelihood function involving 3 
> parameters (in
> particular, it is the log-likelihood of the t distribution 
> with a shift and
> scale parameter). The documentation for the -ml model- 
> command requires an
> equation to be specified. In my case I am not sure what that 
> equation ought
> to be. My objective is to 'search' for the optimal values of the 3
> parameters - degrees of freedom, shift parameter and scale 
> parameter that
> maximize the log-likelihood function.
> Is the -ml- command appropriate for this purpose? Could 
> somebody clarify?

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