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Re: st: Setting initial values in ML estimation


From   Deepankar Basu <basu.15@osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Setting initial values in ML estimation
Date   Tue, 18 Jul 2006 16:32:42 -0400

Jeff,
Thanks a lot for your suggestions. I will work on them and get back to
the list if I face additional problems.
Deepankar

On Mon, 2006-07-17 at 16:55 -0500, Jeff Pitblado, StataCorp LP wrote:
> DEEPANKAR BASU <basu.15@osu.edu> is using -ml init- to set initial values for
> -ml-, but is concerned that -ml max, trace- shows that some of the parameter
> values are different at iteration 0.
> 
> Here is a portion of the log sent by DEEPANKAR:
> 
> > . #delimit cr
> > delimiter now cr
> >  
> > . ml init /four=1.0  
> > 
> > . ml init /five=0.32  
> > 
> > . ml init /seven=0.85 
> > 
> > . ml init /eight=1.42  
> > 
> > . ml init /ten=0.38 
> > 
> > . ml init /eleven=0.59 
> > 
> > . ml init /twelve=0.86 
> > 
> > . ml max, trace
> > 
> > initial:       log likelihood = -72821.591
> > rescaling entire vector +.
> > rescale:       log likelihood =  -72819.04
> > rescaling equations .......+.+++++++++++++++++++++++...++++++++++++++++++++++++++.
> > sign reverse ++++++++++++++++++++++++++.....++++++++++++++++++++++++.++++++++++++++++++++++..+...
> > rescaling equations .....................+++++++++++++++++++.....
> > rescale eq:    log likelihood = -72784.475
> 
> Notice that -ml- is reporting that it rescaled the coefficient vector, and
> then rescaled it again within each equation.  This is where -ml- changed some
> of DEEPANKAR's initial values.  In this case, -ml max- is calling -ml search-,
> which is doing the rescaling.  The effect of rescaling will result in a
> likelihood value that is greater or equal to the original one using the
> original initial values.
> 
> DEEPANKAR can use the -search(norescale)- option of -ml max- to turn rescaling
> off.
> 
> -----
> 
> DEEPANKAR also mentioned that -ml- was having a difficult time trying to
> produce feasible starting values using the data and likelihood evaluator
> DEEPANKAR is working with.
> 
> Keep in mind that log(0) == . and 1/0 == ., and -ml- may have a difficult time
> when the default starting values (or ones provided by users) result in a
> missing value for the log-likelihood.
> 
> Transformations that remap the entire real line to the set of feasible values
> of a parameter {such as (0,1), (-1,1), or positive values} will enable -ml- to
> find feasible starting values.
> 
> Thus you might want to change your likelihood evaluator to assume one or more
> of your constant-only equations are coming from a transformed metric that
> allows the entire real line {such as logit(), atanh(), or ln()}, then your
> likelihood evaluator can use the inverse transformation {such as invlogit(),
> tanh(), or exp(), respectively} to transform them back to the original metric
> to compute the log-likelihood value.
> 
> --Jeff
> jpitblado@stata.com
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