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Re: st: ml bounds


From   "E. Paul Wileyto" <epw@mail.med.upenn.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ml bounds
Date   Wed, 03 Mar 2010 06:58:53 -0500

Please be aware that bounds only applies to search, and not to maximize. Search looks for plausible initial values, not for the final mle.

One way to place bounds on parameters is to replace the parameter in your likelihood with a function that is bounded. For example, if you want to make sure that your parameter A does not fall below 0, then replace it with A=exp(b). ml will optimize parameter b, with bounds of minus to plus infinity, but the parameter of interest, A, remains above 0. You can then recover A and the standard error for A using nlcom.

In a similar fashion, use a logistic function to create an upper and lower bound.

Paul

Beatrice Crozza wrote:
Dear All,

I am doing a maximum likelihood and I would like to specify some
bounds for my parameters.

ml model lf myprog (a:) (d:) (m:) (e:) (g:) (p:)
ml search
ml maximize, difficult

I read on the Stata manual that my bounds should be placed after ml search:

 bounds(ml_search_bounds) specifies the search bounds.  The command ml
        model issues is ml search ml_search_bounds, repeat(#).  Specifying
        search bounds is optional.

My bounds should be:
0< e m, 0<=a d <=1

How should I write this after ml search?

Thank you very much for your help.

Bea
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--
E. Paul Wileyto, Ph.D.
Assistant Professor of Biostatistics
Tobacco Use Research Center
School of Medicine, U. of Pennsylvania
3535 Market Street, Suite 4100
Philadelphia, PA  19104-3309

215-746-7147
Fax: 215-746-7140
epw@mail.med.upenn.edu
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