Class: Statsample::MLE::Logit

Inherits:
BaseMLE
  • Object
show all
Defined in:
lib/statsample/mle/logit.rb

Overview

Logit MLE estimation. See Statsample::Regression for methods to generate a logit regression. Usage:

mle=Statsample::MLE::Logit.new
mle.newton_raphson(x,y)
beta=mle.parameters
likehood=mle.likehood(x, y, beta)
iterations=mle.iterations

Constant Summary

Constants inherited from BaseMLE

BaseMLE::ITERATIONS, BaseMLE::MIN_DIFF, BaseMLE::MIN_DIFF_PARAMETERS

Instance Attribute Summary

Attributes inherited from BaseMLE

#iterations, #output, #parameters, #stop_criteria, #var_cov_matrix, #verbose

Instance Method Summary collapse

Methods inherited from BaseMLE

#initialize, #likehood, #log_likehood, #newton_raphson, #set_default_parameters

Constructor Details

This class inherits a constructor from Statsample::MLE::BaseMLE

Instance Method Details

#f(b, xi) ⇒ Object

F(B’Xi)



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# File 'lib/statsample/mle/logit.rb', line 15

def f(b,xi)
  p_bx=(xi*b)[0,0] 
  res=(1.0/(1.0+Math::exp(-p_bx)))
  if res==0.0
      res=1e-15
  elsif res==1.0
      res=0.999999999999999
  end
  res
end

#first_derivative(x, y, p) ⇒ Object

First derivative of log-likehood function x: Matrix (NxM) y: Matrix (Nx1) p: Matrix (Mx1)



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# File 'lib/statsample/mle/logit.rb', line 39

def first_derivative(x,y,p)
  raise "x.rows!=y.rows" if x.row_size!=y.row_size
  raise "x.columns!=p.rows" if x.column_size!=p.row_size            
  n = x.row_size
  k = x.column_size
  fd = Array.new(k)
  k.times {|i| fd[i] = [0.0]}
  n.times do |i|
    row = x.row(i).to_a
    value1 = (1-y[i,0]) -p_plus(row,p)
  k.times do |j|
    fd[j][0] -= value1*row[j]
    end
  end
  Matrix.rows(fd, true)

end

#likehood_i(xi, yi, b) ⇒ Object

Likehood for x_i vector, y_i scalar and b parameters



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# File 'lib/statsample/mle/logit.rb', line 26

def likehood_i(xi,yi,b)
  (f(b,xi)**yi)*((1-f(b,xi))**(1-yi))
end

#log_likehood_i(xi, yi, b) ⇒ Object

Log Likehood for x_i vector, y_i scalar and b parameters



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# File 'lib/statsample/mle/logit.rb', line 30

def log_likehood_i(xi,yi,b)
  fbx=f(b,xi)
  (yi.to_f*Math::log(fbx))+((1.0-yi.to_f)*Math::log(1.0-fbx))
end

#second_derivative(x, y, p) ⇒ Object

Second derivative of log-likehood function x: Matrix (NxM) y: Matrix (Nx1) p: Matrix (Mx1)



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# File 'lib/statsample/mle/logit.rb', line 60

def second_derivative(x,y,p)
  raise "x.rows!=y.rows" if x.row_size!=y.row_size
  raise "x.columns!=p.rows" if x.column_size!=p.row_size             
  n = x.row_size
  k = x.column_size
  sd = Array.new(k)
  k.times do |i|
    arr = Array.new(k)
    k.times{ |j| arr[j]=0.0}
    sd[i] = arr
  end
  n.times do |i|
    row = x.row(i).to_a
    p_m = p_minus(row,p)
    k.times do |j|
      k.times do |l|
      sd[j][l] -= p_m *(1-p_m)*row[j]*row[l]
      end
    end
  end
  Matrix.rows(sd, true)
end