mle

Maximum likelihood estimates

Syntax

``phat = mle(data)``
``phat = mle(data,'distribution',dist)``
``phat = mle(data,'pdf',pdf,'start',start)``
``phat = mle(data,'pdf',pdf,'start',start,'cdf',cdf)``
``phat = mle(data,'logpdf',logpdf,'start',start)``
``phat = mle(data,'logpdf',logpdf,'start',start,'logsf',logsf)``
``phat = mle(data,'nloglf',nloglf,'start',start)``
``phat = mle(___,Name,Value)``
``````[phat,pci] = mle(___)``````

Description

````phat = mle(data)` returns maximum likelihood estimates (MLEs) for the parameters of a normal distribution, using the sample data in the vector `data`.```

example

````phat = mle(data,'distribution',dist)` returns parameter estimates for a distribution specified by `dist`.```

example

````phat = mle(data,'pdf',pdf,'start',start)` returns parameter estimates for a custom distribution specified by the probability density function `pdf`. You must also specify the initial parameter values, `start`.```

example

````phat = mle(data,'pdf',pdf,'start',start,'cdf',cdf)` returns parameter estimates for a custom distribution specified by the probability density function `pdf` and custom cumulative distribution function `cdf`.```
````phat = mle(data,'logpdf',logpdf,'start',start)` returns parameter estimates for a custom distribution specified by the log probability density function `logpdf`. You must also specify the initial parameter values, `start`.```

example

````phat = mle(data,'logpdf',logpdf,'start',start,'logsf',logsf)` returns parameter estimates for a custom distribution specified by the log probability density function `logpdf` and custom log survival function `logsf`.```

example

````phat = mle(data,'nloglf',nloglf,'start',start)` returns parameter estimates for the custom distribution specified by the negative loglikelihood function `nloglf`. You must also specify the initial parameter values, `start`.```
````phat = mle(___,Name,Value)` specifies options using name-value pair arguments in addition to any of the input arguments in previous syntaxes. For example, you can specify the censored data, frequency of observations, and confidence level.```

example

``````[phat,pci] = mle(___)``` also returns the 95% confidence intervals for the parameters.```

Examples

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Load the sample data.

`load carbig`

The variable `MPG` has the miles per gallon for different models of cars.

Draw a histogram of `MPG` data.

` histogram(MPG)`

The distribution is somewhat right skewed. A symmetric distribution, such as normal distribution, might not be a good fit.

Estimate the parameters of the Burr Type XII distribution for the `MPG` data.

`phat = mle(MPG,'distribution','burr')`
```phat = 1×3 34.6447 3.7898 3.5722 ```

The maximum likelihood estimates for the scale parameter α is 34.6447. The estimates for the two shape parameters $c$ and $k$ of the Burr Type XII distribution are 3.7898 and 3.5722, respectively.

Generate sample data of size 1000 from a noncentral chi-square distribution with degrees of freedom 8 and noncentrality parameter 3.

```rng default % for reproducibility x = ncx2rnd(8,3,1000,1);```

Estimate the parameters of the noncentral chi-square distribution from the sample data. To do this, custom define the noncentral chi-square pdf using the `pdf` input argument.

`[phat,pci] = mle(x,'pdf',@(x,v,d)ncx2pdf(x,v,d),'start',[1,1])`
```phat = 1×2 8.1052 2.6693 ```
```pci = 2×2 7.1120 1.6025 9.0983 3.7362 ```

The estimate for the degrees of freedom is 8.1052 and the noncentrality parameter is 2.6693. The 95% confidence interval for the degrees of freedom is (7.1121,9.0983) and the noncentrality parameter is (1.6025,3.7362). The confidence intervals include the true parameter values of 8 and 3, respectively.

Load the sample data.

`load('readmissiontimes.mat');`

The data includes `ReadmissionTime`, which has readmission times for 100 patients. The column vector `Censored` has the censorship information for each patient, where 1 indicates a censored observation, and 0 indicates the exact readmission time is observed. This is simulated data.

Define a custom probability density and cumulative distribution function.

```custpdf = @(data,lambda) lambda*exp(-lambda*data); custcdf = @(data,lambda) 1-exp(-lambda*data);```

Estimate the parameter, `lambda`, of the custom distribution for the censored sample data.

`phat = mle(ReadmissionTime,'pdf',custpdf,'cdf',custcdf,'start',0.05,'Censoring',Censored)`
```phat = 0.1096 ```

Load the sample data.

`load('readmissiontimes.mat');`

The data includes `ReadmissionTime`, which has readmission times for 100 patients. The column vector `Censored` has the censorship information for each patient, where 1 indicates a censored observation, and 0 indicates the exact readmission time is observed. This is simulated data.

Define a custom log probability density and survival function.

```custlogpdf = @(data,lambda,k) log(k)-k*log(lambda)+(k-1)*log(data)-(data/lambda).^k; custlogsf = @(data,lambda,k) -(data/lambda).^k;```

Estimate the parameters, `lambda` and `k`, of the custom distribution for the censored sample data.

```phat = mle(ReadmissionTime,'logpdf',custlogpdf,'logsf',custlogsf,... 'start',[1,0.75],'Censoring',Censored)```
```phat = 1×2 9.2090 1.4223 ```

The scale and shape parameters of the custom-defined distribution are 9.2090 and 1.4223, respectively.

Load the sample data.

`load('readmissiontimes.mat')`

The data includes `ReadmissionTime`, which has readmission times for 100 patients. This is simulated data.

Define a negative log likelihood function.

`custnloglf = @(lambda,data,cens,freq) - length(data)*log(lambda) + sum(lambda*data,'omitnan');`

Estimate the parameters of the defined distribution.

`phat = mle(ReadmissionTime,'nloglf',custnloglf,'start',0.05)`
```phat = 0.1462 ```

Generate 100 random observations from a binomial distribution with the number of trials, $n$ = 20, and the probability of success, $p$ = 0.75.

`data = binornd(20,0.75,100,1);`

Estimate the probability of success and 95% confidence limits using the simulated sample data.

`[phat,pci] = mle(data,'distribution','binomial','alpha',.05,'ntrials',20)`
```phat = 0.7615 ```
```pci = 2×1 0.7422 0.7800 ```

The estimate of probability of success is 0.7615 and the lower and upper limits of the 95% confidence interval are 0.7422 and 0.78. This interval covers the true value used to simulate the data.

Generate sample data of size 1000 from a noncentral chi-square distribution with degrees of freedom 10 and noncentrality parameter 5.

```rng default % for reproducibility x = ncx2rnd(10,5,1000,1);```

Suppose the noncentrality parameter is fixed at the value 5. Estimate the degrees of freedom of the noncentral chi-square distribution from the sample data. To do this, custom define the noncentral chi-square pdf using the `pdf` input argument.

`[phat,pci] = mle(x,'pdf',@(x,v,d)ncx2pdf(x,v,5),'start',1)`
```phat = 9.9307 ```
```pci = 2×1 9.5626 10.2989 ```

The estimate for the noncentrality parameter is 9.9307, with a 95% confidence interval of 9.5626 and 10.2989. The confidence interval includes the true parameter value of 10.

Generate sample data of size 1000 from a Rician distribution with noncentrality parameter of 8 and scale parameter of 5. First create the Rician distribution.

`r = makedist('Rician','s',8,'sigma',5);`

Now, generate sample data from the distribution you created above.

```rng default % For reproducibility x = random(r,1000,1);```

Suppose the scale parameter is known, and estimate the noncentrality parameter from sample data. To do this using `mle`, you must custom define the Rician probability density function.

`[phat,pci] = mle(x,'pdf',@(x,s,sigma) pdf('rician',x,s,5),'start',10)`
```phat = 7.8953 ```
```pci = 2×1 7.5405 8.2501 ```

The estimate for the noncentrality parameter is 7.8953, with a 95% confidence interval of 7.5404 and 8.2501. The confidence interval includes the true parameter value of 8.

Add a scale parameter to the chi-square distribution for adapting to the scale of data and fit it. First, generate sample data of size 1000 from a chi-square distribution with degrees of freedom 5, and scale it by the factor of 100.

```rng default % For reproducibility x = 100*chi2rnd(5,1000,1);```

Estimate the degrees of freedom and the scaling factor. To do this, custom define the chi-square probability density function using the `pdf` input argument. The density function requires a $1/s$ factor for data scaled by $s$.

`[phat,pci] = mle(x,'pdf',@(x,v,s)chi2pdf(x/s,v)/s,'start',[1,200])`
```phat = 1×2 5.1079 99.1681 ```
```pci = 2×2 4.6862 90.1215 5.5297 108.2146 ```

The estimate for the degrees of freedom is 5.1079 and the scale is 99.1681. The 95% confidence interval for the degrees of freedom is (4.6862,5.5279) and the scale parameter is (90.1215,108.2146). The confidence intervals include the true parameter values of 5 and 100, respectively.

Input Arguments

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Sample data `mle` uses to estimate the distribution parameters, specified as a vector.

Data Types: `single` | `double`

Distribution type to estimate parameters for, specified as one of the following.

`dist`DescriptionParameter 1Parameter 2Parameter 3Parameter 4
`'Bernoulli'`Bernoulli Distribution`p`: probability of success for each trial
`'Beta'`Beta Distribution`a`: first shape parameter`b`: second shape parameter
`'bino'` or `'Binomial'`Binomial Distribution`n`: number of trials`p`: probability of success for each trial
`'BirnbaumSaunders'`Birnbaum-Saunders Distributionβ: scale parameterγ: shape parameter
`'Burr'`Burr Type XII Distributionα: scale parameter`c`: first shape parameter`k`: second shape parameter
`'Discrete Uniform'` or `'unid'`Uniform Distribution (Discrete)`n`: maximum observable value
`'exp'` or `'Exponential'`Exponential Distributionμ: mean
`'ev'` or `'Extreme Value'`Extreme Value Distributionμ: location parameterσ: scale parameter
`'gam'` or `'Gamma'`Gamma Distribution`a`: shape parameter`b`: scale parameter
`'gev'` or `'Generalized Extreme Value'`Generalized Extreme Value Distribution`k`: shape parameterσ: scale parameterμ: location parameter
`'gp'` or `'Generalized Pareto'`Generalized Pareto Distribution`k`: tail index (shape) parameterσ: scale parameterθ: threshold (location) parameter
`'geo'` or `'Geometric'`Geometric Distribution`p`: probability parameter
`'hn'` or `'Half Normal'`Half-Normal Distributionμ: location parameterσ: scale parameter
`'InverseGaussian'`Inverse Gaussian Distributionμ: scale parameterλ: shape parameter
`'Logistic'`Logistic Distributionμ: mean σ: scale parameter
`'LogLogistic'`Loglogistic Distributionμ: mean of logarithmic valuesσ: scale parameter of logarithmic values
`'logn'` or `'LogNormal'`Lognormal Distributionμ: mean of logarithmic valuesσ: standard deviation of logarithmic values
`'Nakagami'`Nakagami Distributionμ: shape parameterω: scale parameter
`'nbin'` or `'Negative Binomial'`Negative Binomial Distribution`r`: number of successes`p`: probability of success in a single trial
`'norm'` or `'Normal'`Normal Distributionμ: mean σ: standard deviation
`'poiss'` or `'Poisson'`Poisson Distributionλ: mean
`'rayl'` or `'Rayleigh'`Rayleigh Distribution`b`: scale parameter
`'Rician'`Rician Distribution`s`: noncentrality parameterσ: scale parameter
`'Stable'`Stable Distributionα: first shape parameterβ: second shape parameterγ: scale parameterδ: location parameter
`'tLocationScale'`t Location-Scale Distributionμ: location parameterσ: scale parameterν: shape parameter
`'unif'` or `'Uniform'`Uniform Distribution (Continuous)`a`: lower endpoint (minimum)`b`: upper endpoint (maximum)
`'wbl'` or `'Weibull'`Weibull Distribution`a`: scale parameter`b`: shape parameter

Example: `'rician'`

Custom probability distribution function, specified as a function handle created using `@`.

This custom function accepts the vector `data` and one or more individual distribution parameters as input parameters, and returns a vector of probability density values.

For example, if the name of the custom probability density function is `newpdf`, then you can specify the function handle in `mle` as follows.

Example: `@newpdf`

Data Types: `function_handle`

Custom cumulative distribution function, specified as a function handle created using `@`.

This custom function accepts the vector `data` and one or more individual distribution parameters as input parameters, and returns a vector of cumulative probability values.

You must define `cdf` with `pdf` if data is censored and you use the `'Censoring'` name-value pair argument. If `'Censoring'` is not present, you do not have to specify `cdf` while using `pdf`.

For example, if the name of the custom cumulative distribution function is `newcdf`, then you can specify the function handle in `mle` as follows.

Example: `@newcdf`

Data Types: `function_handle`

Custom log probability density function, specified as a function handle created using `@`.

This custom function accepts the vector `data` and one or more individual distribution parameters as input parameters, and returns a vector of log probability values.

For example, if the name of the custom log probability density function is `customlogpdf`, then you can specify the function handle in `mle` as follows.

Example: `@customlogpdf`

Data Types: `function_handle`

Custom log survival function, specified as a function handle created using `@`.

This custom function accepts the vector `data` and one or more individual distribution parameters as input parameters, and returns a vector of log survival probability values.

You must define `logsf` with `logpdf` if data is censored and you use the `'Censoring'` name-value pair argument. If `'Censoring'` is not present, you do not have to specify `logsf` while using `logpdf`.

For example, if the name of the custom log survival function is `logsurvival`, then you can specify the function handle in `mle` as follows.

Example: `@logsurvival`

Data Types: `function_handle`

Custom negative loglikelihood function, specified as a function handle created using `@`.

This custom function accepts the following input arguments.

 `params` Vector of distribution parameter values. `mle` detects the number of parameters from the number of elements in `start`. `data` Vector of data. `cens` Boolean vector of censored values. `freq` Vector of integer data frequencies.

`nloglf` must accept all four arguments even if you do not use the `'Censoring'` or `'Frequency'` name-value pair arguments. You can write `'nloglf'` to ignore `cens` and `freq` arguments in that case.

`nloglf` returns a scalar negative loglikelihood value and optionally, a negative loglikelihood gradient vector (see the `'GradObj'` field in `'Options'`).

If the name of the custom negative log likelihood function is `negloglik`, then you can specify the function handle in `mle` as follows.

Example: `@negloglik`

Data Types: `function_handle`

Initial parameter values for the custom functions, specified as a scalar value or a vector of scalar values.

Use `start` when you fit custom distributions, that is, when you use `pdf` and `cdf`, `logpdf` and `logsf`, or `nloglf` input arguments.

Example: `0.05`

Example: `[100,2]`

Data Types: `single` | `double`

Name-Value Pair Arguments

Specify optional comma-separated pairs of `Name,Value` arguments. `Name` is the argument name and `Value` is the corresponding value. `Name` must appear inside quotes. You can specify several name and value pair arguments in any order as `Name1,Value1,...,NameN,ValueN`.

Example: `'Censoring',Cens,'Alpha',0.01,'Options',Opt` specifies that `mle` estimates the parameters for the distribution of censored data specified by array `Cens`, computes the 99% confidence limits for the parameter estimates, and uses the algorithm control parameters specified by the structure `Opt`.

Indicator for censoring, specified as the comma-separated pair consisting of `'Censoring'` and a Boolean array of the same size as `data`. Use 1 for observations that are right censored and 0 for observations that are fully observed. The default is all observations are fully observed.

For example, if the censored data information is in the binary array called `Censored`, then you can specify the censored data as follows.

Example: `'Censoring',Censored`

`mle` supports censoring for the following distributions:

 Birnbaum-Saunders Burr Exponential Extreme Value Gamma Inverse Gaussian Kernel Log-Logistic Logistic Lognormal Nakagami Normal Rician t Location-Scale Weibull

Data Types: `logical`

Frequency of observations, specified as the comma-separated pair consisting of `'Frequency'` and an array containing nonnegative integer counts, which is the same size as `data`. The default is one observation per element of `data`.

For example, if the observation frequencies are stored in an array named `Freq`, you can specify the frequencies as follows.

Example: `'Frequency',Freq`

Data Types: `single` | `double`

Significance level for the confidence interval of parameter estimates, `pci`, specified as the comma-separated pair consisting of `'Alpha'` and a scalar value in the range (0,1). The confidence level of `pci` is `100(1-Alpha)`% . The default is `0.05` for 95% confidence.

For example, for 99% confidence limits, you can specify the confidence level as follows.

Example: `'Alpha',0.01`

Data Types: `single` | `double`

Number of trials for the corresponding element of `data`, specified as the comma-separated pair consisting of `'Ntrials'` and a scalar or a vector of the same size as `data`.

Applies only to binomial distribution.

Example: `'Ntrials',total`

Data Types: `single` | `double`

Location parameter for the half-normal distribution, specified as the comma-separated pair consisting of `'mu'` and a scalar value.

Applies only to half-normal distribution.

Example: `'mu',1`

Data Types: `single` | `double`

Fitting algorithm control parameters, specified as the comma-separated pair consisting of `'Options'` and a structure returned by `statset`.

Not applicable to all distributions.

Use the `'Options'` name-value pair argument to control details of the maximum likelihood optimization when fitting a custom distribution. For parameter names and default values, type `statset('mlecustom')`. You can set the options under a new name and use that in the name-value pair argument. `mle` interprets the following `statset` parameters for custom distribution fitting.

ParameterValue
`'GradObj'`

Default is `'off'`.

`'on'` or `'off'`, indicating whether or not `fmincon` can expect the custom function provided with the `nloglf` input argument to return the gradient vector of the negative log-likelihood as a second output.

`mle` ignores `'GradObj'` when using `fminsearch`.

`'DerivStep'`

Default is `eps^(1/3)`.

The relative difference, specified as a scalar or a vector the same size as `start`, used in finite difference derivative approximations when using `fmincon`, and `'GradObj'` is `'off'`.

`mle` ignores `'DerivStep'` when using `fminsearch`.

`'FunValCheck'`

Default is `'on'`.

`'on'` or `'off'`, indicating whether or not `mle` should check the values returned by the custom distribution functions for validity.

A poor choice of starting point can sometimes cause these functions to return `NaN`s, infinite values, or out-of-range values if they are written without suitable error checking.

`'TolBnd'`

Default is `1e-6`.

An offset for lower and upper bounds when using `fmincon`.

`mle` treats lower and upper bounds as strict inequalities, that is, open bounds. With `fmincon`, this is approximated by creating closed bounds inset from the specified lower and upper bounds by `TolBnd`.

Example: `'Options',statset('mlecustom')`

Data Types: `struct`

Lower bounds for distribution parameters, specified as the comma-separated pair consisting of `'Lowerbound'` and a vector the same size as `start`.

This name-value pair argument is valid only when you use the `pdf` and `cdf`, `logpdf` and `logcdf`, or `nloglf` input arguments.

Example: `'Lowerbound',0`

Data Types: `single` | `double`

Upper bounds for distribution parameters, specified as the comma-separated pair consisting of `'Upperbound'` and a vector the same size as `start`.

This name-value pair argument is valid only when you use the `pdf` and `cdf`, `logpdf` and `logsf`, or `nloglf` input arguments.

Example: `'Upperbound',1`

Data Types: `single` | `double`

Optimization function `mle` uses in maximizing the likelihood, specified as the comma-separated pair consisting of `'Optimfun'` and either `'fminsearch'` or `'fmincon'`.

Default is `'fminsearch'`.

You can only specify `'fmincon'` if Optimization Toolbox™ is available.

The `'Optimfun'` name-value pair argument is valid only when you fit custom distributions, that is, when you use the `pdf` and `cdf`, `logpdf` and `logsf`, or `nloglf` input arguments.

Example: `'Optimfun','fmincon'`

Output Arguments

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Parameter estimates, returned as a scalar value or a row vector.

Confidence intervals for parameter estimates, returned as a column vector or a matrix depending on the number of parameters, hence the size of `phat`.

`pci` is a 2-by-k matrix, where k is the number of parameters `mle` estimates. The first and second rows of the `pci` show the lower and upper confidence limits, respectively.

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Survival Function

The survival function is the probability of survival as a function of time. It is also called the survivor function. It gives the probability that the survival time of an individual exceeds a certain value. Since the cumulative distribution function, F(t), is the probability that the survival time is less than or equal to a given point in time, the survival function for a continuous distribution, S(t), is the complement of the cumulative distribution function: S(t) = 1 – F(t).

Tips

When you supply distribution functions, `mle` computes the parameter estimates using an iterative maximization algorithm. With some models and data, a poor choice of starting point can cause `mle` to converge to a local optimum that is not the global maximizer, or to fail to converge entirely. Even in cases for which the log-likelihood is well-behaved near the global maximum, the choice of starting point is often crucial to convergence of the algorithm. In particular, if the initial parameter values are far from the MLEs, underflow in the distribution functions can lead to infinite log-likelihoods.

Introduced before R2006a