Hi list,
I would like to maximize a likelihood function to obtain estimates. The problem
is that i first have to have functions other functions that are in the
likelihood that depend on the parameters. I was thinking of using optim but i
do not know how to go about starting. A example of what i wish to do is given
below. The parameters i wish to estimate are phi and gamma.
How would i go about maximizing the likelihood function to obtain estimates?
Any help would be much appreciated
Nigel
# initial starting points
phi<-0.2
gamma<-0.1
n<-200
h<-c()
h[1]<-1
e<-c()
e[1]<-1
for (i in 2:n){
h[i]<-phi*e[i-1]+gamma*h[i-1]+3
e[i]<-rnorm(1,0,h[i])
}
likelihood<- sum(log(h)+e^2/2*h)
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