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论坛 数据科学与人工智能 数据分析与数据科学 MATLAB等数学软件专版
2016 2
2007-03-19

1) The underlying relationship between Y and X is Yi=βXii, where the density function ofεi is f(εi)= exp(-εi) for εi non-negative and zero otherwise. The values of X are observed, but Y is an unobserved latent variable. The only thing you know is the value of an indicator variable Z that is 1 when Y is positive and 0 when it is not positive. Using the data below, find the maximum likelihood estimate for β and test the hypothesis that β=5 using a likelihood ratio test.

X Z
2.330202 1
0.412245 1
-0.95171 0
0.652971 1
1.694773 1
0.11577 1
2.342919 1
2.111553 1
-1.45119 0
-0.41914 0
-1.876 0
1.911599 1
-0.4387 0
1.452094 1
1.928657 1
-2.48699 0
1.704174 1
0.231499 1
-2.403 0
2.293572 1
1.140321 1
-0.69274 0
-1.09291 0
2.016314 1
-0.75442 0
-1.84381 0
-1.6475 0
-2.37047 0
-2.35681 0
-0.14848 0

推倒了半天

觉得应该是找个β maximizing L=∏(1-EXP(βXi)) for all Xi<0

请教怎样用matlab做,我不会,我只会eviews

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全部回复
2007-3-21 02:53:00

Do not use matlab, use excel. Plug in all the data in two columns and solve the MLS estimator using the built-in function.

Max ∏εi = Yi -βXi i = 1...30

L=∏(1-EXP(βXi))∏(-EXP(βXi))

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2007-3-21 03:24:00
thanks
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