Re: st: ml mixture distribution

[Lukas Kornher <lukas.kornher@uni-bonn.de>]

Thanks Maarten. I know the command. I have a mixture distribution of a 
normal and two truncated normal which is not available for fmm. Do you 
think it is possible to rewrite Deb's original code?

Regards
Lukas



Am 09/07/2012 18:25, schrieb Maarten Buis:
> Have you looked at -fmm- (In stata type: -ssc desc fmm-)?
>
> Hope this helps,
> Maarten
>
> On Mon, Jul 9, 2012 at 6:14 PM, Lukas Kornher<lukas.kornher@uni-bonn.de>  wrote:
> > Dear Statalisters,
> >
> > I am trying to set up a ml model for a mixture distribution function with
> > three regimes. Stata cannot find a maximum and returns:
> > /could not calculate numerical derivatives -- discontinuous region with
> > missing values encountered/.
> > I am quite new to ml in Stata and I find very little on mixture distribution
> > on the web and in MLE with Stata. Any comments would be really appreciated.
> > Especially how one can constraint the sum of the regime probabilities to 1.
> > Many thanks.
> >
> > Lukas
> >
> > STATA CODE:
> >
> > program define pbm_mixture ;
> > args todo b lnf;
> > tempvar lnf_j;
> > tempname lambda1 lambda2 sigma_1 sigma_2 sigma_3 mu;
> > scalar `mu' = `b'[1,1];
> > scalar `sigma_1' = exp(`b'[1,2]);
> > scalar `sigma_2' = exp(`b'[1,3]);
> > scalar `sigma_3' = exp(`b'[1,4]);
> > scalar `lambda1'  = normal(`b'[1,5]);
> > scalar `lambda2'  = normal(`b'[1,6]);
> > gen double `lnf_j' =
> >    `lambda1' * (1/`sigma_1') * normalden(($ML_y1 - `mu')/`sigma_1') +
> >
> >
> >    `lambda2'*(2/sqrt(`sigma_1'^2+`sigma_2'^2)) * normalden(($ML_y1 - `mu')/
> > sqrt(`sigma_1'^2+`sigma_2'^2))*
> >    (1-normal((-($ML_y1 - `mu')*(`sigma_1'/`sigma_2'))/
> > sqrt(`sigma_1'^2+`sigma_2'^2)))+
> >
> >    (1-`lambda1'-`lambda2') * (2/sqrt(`sigma_1'^2+`sigma_3'^2)) *
> > normalden(($ML_y1 - `mu')/ sqrt(`sigma_1'^2+`sigma_3'^2))*
> >    (1-normal((($ML_y1 - `mu')*(`sigma_1'/`sigma_3'))/
> > sqrt(`sigma_1'^2+`sigma_3'^2)));
> >   mlsum `lnf' = log(`lnf_j');
> >
> >
> > end;
> > gen mu = -0.00001;
> >
> > ml model d0 pbm_mixture (tau = mu, noconst technique(dfp)  ) /ln_sigma_1
> > /ln_sigma_2 /ln_sigma_3 /inv_lambda1 /inv_lambda2 ;
> > ml init mu=0;
> > ml check;
> > ml search lambda1 0 1 lambda2 0 1, repeat(250);
> > ml maximize;
> >
> > --
> > Lukas Kornher
> >
> > Phd Candidate
> > Department of Economic and Technological Change
> > Center for Development Research
> > University of Bonn
> >
> > Tel.: +49 (0) 228 / 73-1842
> > Room 1.031
> >
> >
> >
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/help.cgi?search
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/


--
Lukas Kornher

Phd Candidate
Department of Economic and Technological Change
Center for Development Research
University of Bonn

Tel.: +49 (0) 228 / 73-1842
Room 1.031



                  

*
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