Thanks for answering, in ret i've the returns of FTSE MIB (the benchmark stock
market index in Italy) and i'm estimating the parametres of the distribution of
the returns of the index using different methods.
I need the mle and i found this two function and i could not understand why the
result were different: it's possibile that i obtain different result because in
the mle() i don't need to know the original distribution and in the fitdistr()
i don't need to know the function i had to maximize?
In addition to that i'm going to use quadratic programming for portfolio
optimization.
Il Martedì 24 Dicembre 2013 17:53, Ben Bolker <bbol...@gmail.com> ha scritto:
Tia Borrelli <tiaborrelli <at> yahoo.it> writes:
>
> Hello, i'm using R for the exploration of a time series and i'm stuck in a
problem with the fitting of the distribution.
> What's the difference between "fitdistr" and "mle"?
Hard to say without a reproducible example. In the example below
the answers are not identical (different starting values etc.) but
they're closer than in your example.
(I assume that what you're really doing is more complicated than
the trivial example shown here, since the MLEs of the Normal distribution
parameters are very easy ...)
set.seed(101)
ret <- rnorm(10000,mean=-1.5e-5,sd=1.69e-2)
MASS::fitdistr(ret,densfun="normal")
## mean sd
## 7.419639e-05 1.678380e-02
## (1.678380e-04) (1.186794e-04)
library(stats4)
loglink <- function(media=0, devstd=1){
-sum(dnorm(ret, mean=media, sd=devstd, log=TRUE))
}
mle(loglink)
## media devstd
## 7.402637e-05 1.680457e-02
> library(MASS)
> fitting <- fitdistr(ret,densfun="normal")
> print(c(mean(ret),sd(ret)))
> -------------------------------------------------------------
> The output of fitdistr is:
> mean sd
> -1.526547e-05 1.692554e-02
> ( 5.105564e-04) ( 3.610179e-04)
> -------------------------------------------------------------
>
> library(stats4)
> loglink <- function(media=0, devstd=1){
> -sum(dnorm(ret, mean=media, sd=devstd, log=TRUE))
> }
> mle(loglink)
> -------------------------------------------------------------
>
> The output of mle is:
> Call:
> mle(minuslogl = loglink)
>
> Coefficients:
> media devstd
> -1.593559e-05 1.695075e-02
>
> Thank you for the help.
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