Estimador de Máxima Verosimilitud (Función GAMMA)

MARCO ANTONIO MENDEZ PALMA

QUITO-ECUADOR 2010

Función GAMMA de máxima verosimilitud

Algoritmo Steep descent aplicado a la función de máxima verosimilitud para encontrar los estimadores optimos
Reales
Rate <- 1

Shape<- 3

Estimadores
[,1]

[1,] 1.014154 -> Rate

[2,] 2.792839 ->Shape

ANEXOS:
CODIGO FUENTE
#grafico

y<-seq(0.5,3.5,0.1)

x<-seq(0.5,3.5,0.1)

nc<-length(x)

f<-matrix(ncol=nc,nrow=nc)

datos=rgamma(40,3,1)

suma<-sum(datos)

suma1<-sum(log(datos))

for ( j in 1:nc)

for ( i in 1:nc)

f[i,j]=-40*y[j]*log(x[i])-40*log(gamma(y[j]))+(y[j]-1)*suma1-(1/x[i])*suma

persp(x, y, f, theta = 40, phi = 35, expand = 0.5, col = "lightblue", ltheta = 120, shade = 0.75, ticktype = "detailed",
xlab = "X", ylab = "Y", zlab = "f(x,y)", main="FORMA CUADRATICA")

persp(x, y, f, theta = 40, phi = 35 , expand = 0.5,col = "white" , shade = 0.1, ticktype = "detailed", xlab = "X[1]" ,
ylab = "Y", zlab = "f(x,y)",main="Figura 2: Forma Cuadratica ")

#GRAFICA LAS CURVAS DE NIVEL DE LA FORMA CUADRATICA Y DEL GRADIENTE

require(grDevices)
image(x,y, f)

contour(x, y, f, col = "pink",nlevels=30, add = TRUE, method = "edge",vfont = c("sans serif", "plain"))

# steep_descent

datos=rgamma(40,3,1)

x1 <-c(1,1)

i_max <-5000

eps <-0.0001

suma<-sum(datos)

suma1<-sum(log(datos))

f1 <- expression(-40*y*log(x)-40*log(gamma(y))+(y-1)*suma1-(1/x)*suma)

fx=D(f1,"x")

fy=D(f1,"y")

fxx=D(fx,"x")

fxy=D(fx,"y")

fyx=D(fy,"x")

fyy=D(fy,"y")

steep_descent <- function(x,i_max,eps)

{
x=x1[1]

y=x1[2]

fx1=eval(fx)

fy1=eval(fy)

x_i<-c(x1[1],x1[2])

i<-0

r<-c(-fx1,-fy1)

delta<-t(r)%*%r

delta_o<-delta

while (i<i_max & delta > delta_o*eps^2)

x=x1[1]

y=x1[2]

fxx1=eval(fxx)

fxy1=eval(fxy)

fyy1=eval(fyy)

A <- rbind(c(fxx1,fxy1),c(fxy1,fyy1))

q<-A%*%r

alpha<-delta/(t(r)%*%q)

x1<-x1+alpha[1]*r

segments(x_i[1], x_i[2], x1[1], x1[2], col= 'black')

points(x_i[1], x_i[2],pch=16)

x_i<-x1
 if (50%%(i+1)==0 )

x=x1[1]

y=x1[2]

fx1=eval(fx)

fy1=eval(fy)

r<-c(-fx1,-fy1)

else

r<-r-alpha[1]*q

delta<-(t(r)%*%r)

i<-i+1

x1

a<-steep_descent(x1,i_max,eps)