[SciPy-User] max likelihood

David Goldsmith d.l.goldsmith@gmail....
Mon Jun 21 16:55:43 CDT 2010


On Mon, Jun 21, 2010 at 2:43 PM, Skipper Seabold <jsseabold@gmail.com>wrote:

> On Mon, Jun 21, 2010 at 5:34 PM, David Goldsmith
> <d.l.goldsmith@gmail.com> wrote:
> > On Mon, Jun 21, 2010 at 2:17 PM, eneide.odissea <
> eneide.odissea@gmail.com>
> > wrote:
> >>
> >> Hi All
> >> I had a look at the scipy.stats documentation and I was not able to find
> a
> >> function for
> >> maximum likelihood parameter estimation.
> >> Do you know whether is available in some other namespace/library of
> >> scipy?
> >> I found on the web few libraries ( this one is an
> >> example http://bmnh.org/~pf/p4.html <http://bmnh.org/%7Epf/p4.html> )
> having it,
> >> but I would prefer to start playing with what scipy already offers by
> >> default ( if any ).
> >> Kind Regards
> >> eo
> >
> > scipy.stats.distributions.rv_continuous.fit (I was just working on the
> > docstring for that; I don't believe my changes have been merged; I
> believe
> > Travis recently updated its code...)
> >
>
> This is for fitting the parameters of a distribution via maximum
> likelihood given that the DGP is the underlying distribution.  I don't
> think it is intended for more complicated likelihood functions (where
> Nelder-Mead might fail).  And in any event it will only find the
> parameters of the distribution rather than the parameters of some
> underlying model, if this is what you're after.
>
> Skipper
>

OK, but just for clarity in my own mind: are you saying that
rv_continuous.fit is _definitely_ inappropriate/inadequate for OP's needs
(i.e., am I _completely_ misunderstanding the relationship between the
function and OP's stated needs), or are you saying that the function _may_
not be general/robust enough for OP's stated needs?

DG

PS: Sorry, josef!  (who appears to be the most recent worker on
rv_continuous.fit - credit where credit is due!)
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