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Re: st: Imposing bounds on parameters estimated with -optimize-

From   Maarten Buis <>
Subject   Re: st: Imposing bounds on parameters estimated with -optimize-
Date   Thu, 15 Sep 2011 09:21:15 +0200

On Thu, Sep 15, 2011 at 12:13 AM, Lacy,Michael wrote:
> I'm using  Mata's -optimize- to maximize a function.   All items in the parameter vector must fall between 0 and 1; other values do not make sense. <snip>  Is there some other, better way to impose bounds on parameters estimated with -optimize-"

You can use the same tricks as in -ml-, that is, maximize with respect
to a transformed version of the parameter. So, if you model a variance
you can maximize with respect to ln(variance), if you model a
probability you can maximize with respect to logit(pr), if you model a
correlation you maximize with respect to tanh(rho) (that is the
Fisher's z transformation of rho). In all these cases the transformed
version can take any value while the original parameter respects the
bounds. For more see:

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen

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