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Re: Maximise a piecewise defined function
Posted: Thu Jul 18, 2013 5:07 pm
by TomDoan
Works fine for me. You can get rid of the simplex iterations. They aren't necessary and could cause it to leave the non-negative range for beta. (PMETHOD=SIMPLEX doesn't use the constraints).
Re: Maximise a piecewise defined function
Posted: Thu Jul 18, 2013 5:17 pm
by rbelhach95
Many Thanks Tom, still getting Rats Stopped...., could you send me your output or advise me what I should do. I will reboot may be that would help or reinstall the program again. Just to be sure, did you run the last code I sent you? Thank you
Rachid
Re: Maximise a piecewise defined function
Posted: Thu Jul 18, 2013 5:27 pm
by TomDoan
Code: Select all
MAXIMIZE - Estimation by BFGS
Convergence in 3 Iterations. Final criterion was 0.0000002 <= 0.0000100
Usable Observations 1150
Function Value -1055.2676
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. MUGZ 3.3767076290 0.0137455081 245.65899 0.00000000
2. SIGMAGZ 0.7382213094 0.0152971412 48.25878 0.00000000
3. ALPHA 2.1819414012 0.2767405879 7.88443 0.00000000
4. BETA 0.2209384865 0.0103424435 21.36231 0.00000000
Re: Maximise a piecewise defined function
Posted: Thu Jul 18, 2013 5:38 pm
by rbelhach95
Dear Tom,
Thanks for the output. Could you send me the text file too. Thanks
Rachid
Re: Maximise a piecewise defined function
Posted: Fri Jul 19, 2013 12:04 am
by rbelhach95
Dear Tom,
I was not may be clear in my last email to you, I meant the code I last sent you to see if you haven't made any changes, anyhow I appreciate and thank you for all your efforts.
Rachid
Maximise a piecewise defined function
Posted: Sat Sep 14, 2013 3:33 pm
by rbelhach95
Dear Tom,
Hope all is well. I have a question along the same line of my last email, but different objective function this time. I run the code, it works fine but no output, I believe the looping is empty. I am not sure if my %if statement is where it should be. Please advise, I have attached the code and the data. Thank you
Rachid
Re: Maximise a piecewise defined function
Posted: Sat Sep 14, 2013 5:44 pm
by TomDoan
On
g5=1/2+(1/2)*%gamma(1/alpha)*%sign(c*(x(t)-mux))*%gammainc(abs((b*c*(x(t)-mux)))^alpha,1/alpha) , $
use .5 or 1.0/2 rather than 1/2. The last does an integer divide giving 0.
Re: Maximise a piecewise defined function
Posted: Sat Sep 14, 2013 7:24 pm
by rbelhach95
Thanks Tom, very much appreciated.
Rachid
Re: Maximise a piecewise defined function
Posted: Tue Sep 17, 2013 5:13 am
by rbelhach95
Dear Tom,
Hope my email finds you well. I run the attached code and data, it converges to something that I don't want (negative sigma2), (output is also attached), however, in the output, many of my data points are "skipped/missing" , could it be because of bad choice of starting values? or maybe I need to add more information into the code to read all the data set. Please advise. Thank you
Rachid
Re: Maximise a piecewise defined function
Posted: Tue Sep 17, 2013 10:21 am
by TomDoan
Yes. You probably have a problem at your guess values. I suspect that the problem is with the following:
g1=-(-(x(t)-mux1)*b/sigmax1)^alpha1, $
g2=-((x(t)-mux2)*b/sigmax2)^alpha2, $
Negative number to real power isn't defined. If you're mux1 and mux2 aren't chosen to make that (x(t)-mu)*b/sigma negative in the first line and positive in the second, you'll trigger a missing value at t.
Re: Maximise a piecewise defined function
Posted: Tue Sep 17, 2013 10:22 am
by TomDoan
Yes. You probably have a problem at your guess values. I suspect that the problem is with the following:
g1=-(-(x(t)-mux1)*b/sigmax1)^alpha1, $
g2=-((x(t)-mux2)*b/sigmax2)^alpha2, $
Negative number to real power isn't defined. If your mux1 and mux2 aren't chosen to make that (x(t)-mu)*b/sigma negative in the first line and positive in the second, you'll trigger a missing value at t. But at any rate, you'll have to see where the missing values are, evaluate the FRML there and check the intermediate calculations.
Re: Maximise a piecewise defined function
Posted: Tue Sep 17, 2013 2:05 pm
by rbelhach95
Thanks Tom for your thoughtful insights, my mistake, I left off the factors d and (1-d) in the terms you mentioned. Thanks
Rachid