Grouped Log Likelihood function??

[Noah Silverman-3]

Hi,

I'm still fairly new to R and this is my first time posting to this group.

I've searched rseek.org high and low and can't seem to find an answer to
this.

I want to maximize likelihood for a set of training data, but the data
is grouped.  (Think multiple trials.)

It would probably be possible to do this with some nested for loops
manually, but would be painfully slow.

The general formula is this...  (Please excuse my notation, but I can't
write proper math formulas in an email.)

L(a) = product(
for( trial in 1:length(groups)){
     exp(a(i) * X) / sum(exp(a(i) * X))
}
)

As you can see, a normal logLik function will lose all the group data.
This seems like a common enough application that there must me some easy
function in R.

THEN, just to complicate things, I need to run a second logLik with some
trickier data. There are 14 variables and I need to adjust them all to
find the maximum likelihood from a formula. (kelly criterion on entries
in a portfolio.)

Any suggestions would be gratefully appreciated.

Thanks!

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[Brian G. Peterson]

Noah,

You'll likely get more complete responses from the main r-help list, as
your problem is more of a statistics problem than a finance problem.

Regards,

    - Brian

Noah Silverman wrote:

> Hi,
>
> I'm still fairly new to R and this is my first time posting to this
> group.
>
> I've searched rseek.org high and low and can't seem to find an answer
> to this.
>
> I want to maximize likelihood for a set of training data, but the data
> is grouped.  (Think multiple trials.)
>
> It would probably be possible to do this with some nested for loops
> manually, but would be painfully slow.
>
> The general formula is this...  (Please excuse my notation, but I
> can't write proper math formulas in an email.)
>
> L(a) = product(
> for( trial in 1:length(groups)){
>     exp(a(i) * X) / sum(exp(a(i) * X))
> }
> )
>
> As you can see, a normal logLik function will lose all the group data.
> This seems like a common enough application that there must me some
> easy function in R.
>
> THEN, just to complicate things, I need to run a second logLik with
> some trickier data. There are 14 variables and I need to adjust them
> all to find the maximum likelihood from a formula. (kelly criterion on
> entries in a portfolio.)
>
> Any suggestions would be gratefully appreciated.
>
> Thanks!
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

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