--- On Thu, 28/1/10, László Sándor wrote:
> I ran into a standard problem when coding up an estimator :
> at a point to use simply Bayes' rule, I thought I'd
> calculate proper likelihood from log-likelihood. This broke
> down very fast for any test runs, and now I know why : the
> number got that big that it became meaningless on a computer.
>
> If I want to keep my code general, so I cannot simply rescale
> this or that variable, what else could I do? What is the
> normal way out?
The standard way is to keep working on the log-likelihood scale,
so, for example, you would transform Bayes theorem as below:
p(a|b) = p(b|a) p(a)/p(b)
ln[p(a|b)] = ln[p(b|a) p(a)/p(b)]
ln[p(a|b)] = ln[p(b|a)] + ln[p(a)] - ln[p(b)]
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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