Error when using custom pdf for mle

6 次查看（过去 30 天）
Francesca
Francesca 2012-7-11
Hello,
I am trying to use the mle function with a custom pdf defined by:
function[frequency] = myfun(data,x) frequency = data.^(x);
myhandle = @(data, x) myfun(data,x)
My starting value for x is -1, so I enter: [phat] = mle (data, 'pdf', myhandle, 'start', -1);
(Physically, I have data where I the freqency of occurrence to be approximately inversely proportional to the energy signal observed.)
None of my data is negative or zero. However, I get the following error:
??? Error using ==> mlecustom>llf_pdfcdf at 441 The PDF function returned NaN or infinite values.
I have input my data into the defined function and checked that it does not produce any NaNs or infinities. Does anyone know how I can solve this error or a different way I can estimate my parameter x?
Thankyou!

请先登录，再回答此问题。

回答（1 个）

Tom Lane
Tom Lane 2012-7-11
The mle function needs a real pdf. Yours isn't normalized to integrate to 1. Here's an example that integrates to 1 from 0 to +Inf for parameters a>1:
>> f = @(x,a) (a-1)*x.^-a;
>> quad(@(x) f(x,2),1,100)
ans =
0.9900
>> quad(@(x) f(x,5),1,100)
ans =
1.0000
>> quad(@(x) f(x,15),1,100)
ans =
1.0000
>> mle(x,'pdf',f,'start',2)
ans =
2.7134
  1 个评论
Francesca
Francesca 2012-7-11
Thanks! I understand what the problem is now. Sadly, I think (for physics reasons) that my exponent will be around -0.9. So maybe I will try defining a function with a cutoff to zero for high input so that it is normalizable?

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Multivariate Distributions 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by