# Copyright (C) 2003,2004 Michael Creel michael.creel@uab.es

# under the terms of the GNU General Public License.

#

# This program is free software; you can redistribute it and/or modify

# it under the terms of the GNU General Public License as published by

# the Free Software Foundation; either version 2 of the License, or

# (at your option) any later version.

#

# This program is distributed in the hope that it will be useful,

# but WITHOUT ANY WARRANTY; without even the implied warranty of

# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the

# GNU General Public License for more details.

#

# You should have received a copy of the GNU General Public License

# along with this program; if not, write to the Free Software

# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA

# Copyright (C) 2003 Michael Creel michael.creel@uab.es

# under the terms of the GNU General Public License.

# The GPL license is in the file COPYING

#

# This program is free software; you can redistribute it and/or modify

# it under the terms of the GNU General Public License as published by

# the Free Software Foundation; either version 2 of the License, or

# (at your option) any later version.

#

# This program is distributed in the hope that it will be useful,

# but WITHOUT ANY WARRANTY; without even the implied warranty of

# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the

# GNU General Public License for more details.

#

# You should have received a copy of the GNU General Public License

# along with this program; if not, write to the Free Software

# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA

# Copyright (C) 2003 Michael Creel michael.creel@uab.es

# under the terms of the GNU General Public License.

# The GPL license is in the file COPYING

#

# This program is free software; you can redistribute it and/or modify

# it under the terms of the GNU General Public License as published by

# the Free Software Foundation; either version 2 of the License, or

# (at your option) any later version.

#

# This program is distributed in the hope that it will be useful,

# but WITHOUT ANY WARRANTY; without even the implied warranty of

# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the

# GNU General Public License for more details.

#

# You should have received a copy of the GNU General Public License

# along with this program; if not, write to the Free Software

# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA

1;

# Example to show how to use MLE functions

# Example likelihood function, no score

function [log_density, score] = poisson_no_score(theta, data, otherargs)

y = data(:,1);

x = data(:,2:columns(data));

lambda = exp(x*theta);

log_density = -lambda + y .* (x*theta) - lgamma(y+1);

score = "na";

endfunction

# Example likelihood function, with score

function [log_density, score] = poisson_with_score(theta, data, otherargs)

y = data(:,1);

x = data(:,2:columns(data));

lambda = exp(x*theta);

log_density = -lambda + y .* (x*theta) - lgamma(y+1);

score = dmult(y - lambda,x);

endfunction

# Generate data

n = 1000; # how many observations?

# the explanatory variables: note that they have unequal scales

x = [ones(n,1) rand(n,1) randn(n,1)];

theta = 1:3; # true coefficients are 1,2,3

theta = theta';

lambda = exp(x*theta);

y = randp(lambda); # generate the dependent variable

####################################

# define arguments for mle_results #

####################################

# starting values

theta = zeros(3,1);

# data

data = [y, x];

# name of model to estimate

model = "poisson_with_score";

# placeholder, poisson model has no additional args

modelargs = {};

# parameter names

names = str2mat("beta1", "beta2", "beta3");

title = "Poisson MLE trial"; # title for the run

# controls for bfgsmin: 30 iterations is not always enough for convergence

control = {30,0,1,1};

# This displays the results

printf("\n\nanalytic score, unscaled data\n");

[theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, title, 0, control);

# This just calculates the results, no screen display

printf("\n\nanalytic score, unscaled data, no screen display\n");

theta = zeros(3,1);

[theta, obj_value, convergence] = mle_estimate(theta, data, model, modelargs, control);

printf("obj_value = %f, to confirm it worked\n", obj_value);

# This show how to scale data during estimation, but get results

# for data in original units (recommended to avoid conditioning problems)

# This usually converges faster, depending upon the data

printf("\n\nanalytic score, scaled data\n");

[scaled_x, unscale] = scale_data(x);

data = [y, scaled_x];

theta = zeros(3,1);

[theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, title, unscale, control);

# Example using numeric score

printf("\n\nnumeric score, scaled data\n");

theta = zeros(3,1);

model = "poisson_no_score";

[theta, V, obj_value, infocrit] = mle_results(theta, data, model, modelargs, names, title, unscale, control);