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Re: st: QMLE

From   "Lane, Scott D" <>
To   "" <>
Subject   Re: st: QMLE
Date   Tue, 19 Mar 2013 14:53:17 -0500

Apologies, ref is Brown, S., & Heathcote, A. (2003). QMLE: Fast, robust
and efficient estimation of distribution functions based on quantiles.
Behaviour Research Methods, Instruments & Computers, 35, 485-492.

I will search for Jenkins via SSC.  While I have coded in 5-6 languages,
Stata is not (yet) one of them.

Thanks for the help.

Scott Lane 

On 3/19/13 2:35 PM, "Nick Cox" <> wrote:

>Please give full references, not just name (date) references. This
>request is often repeated in Statalist.
>In principle, you can write your own program to fit such a
>distribution by maximum likelihood estimation, or any other method
>that takes your fancy.
>In practice, you could search for any distribution fitting program
>written by Stephen Jenkins and posted on SSC; and then then clone it.
>If you've not done any or much Stata programming that would be harder
>than if you have.
>On Tue, Mar 19, 2013 at 6:56 PM, Lane, Scott D <>
>> In 2003, Brown & Heathcoat published an QMLE method applicable to
>>"ex-Gaussian" distributional analyses, which produces three parameters
>>(mu, sigma, and tau, representing then mean of Gaussian, the sd of the
>>Gaussian, and the mean and sd of the exponential, respectively).
>> In cognitive psychology, particularly in the domains of attention,
>>reaction time, and eye tracking, this model has been very influential in
>>analyzing the full distribution of reaction times, as the Tau parameter
>>is often more informative and malleable to experimental manipulation
>>than mu or sigma.  However, the original QMLE coding was written in
>>Fortran, some updates have been homespun in Matlab, and there is a
>>DOS-based .exe file floating around, but most of these are outdated.
>>Rather than recode in Matlab, Python, etc., including convergence and
>>fit statistics, I am hoping this distributional analysis exists in some
>>form (perhaps as an ado) in Stata ‹ perhaps under a different name.  We
>>have a large dataset of eye-tracking based reaction times to which we
>>would like to apply this analysis, and we otherwise use Stata for most
>>data analyses.
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