[SciPy-User] max likelihood

[Skipper Seabold]

On Mon, Jun 21, 2010 at 5:34 PM, David Goldsmith
<d.l.goldsmith at gmail.com> wrote:
> On Mon, Jun 21, 2010 at 2:17 PM, eneide.odissea <eneide.odissea at gmail.com>
> wrote:
>>
>> Hi All
>> I had a look at the scipy.stats documentation and I was not able to find a
>> function for
>> maximum likelihood parameter estimation.
>> Do you know whether is available in some other namespace/library of
>> scipy?
>> I found on the web few libraries ( this one is an
>> example http://bmnh.org/~pf/p4.html ) having it,
>> but I would prefer to start playing with what scipy already offers by
>> default ( if any ).
>> Kind Regards
>> eo
>
> scipy.stats.distributions.rv_continuous.fit (I was just working on the
> docstring for that; I don't believe my changes have been merged; I believe
> Travis recently updated its code...)
>

This is for fitting the parameters of a distribution via maximum
likelihood given that the DGP is the underlying distribution.  I don't
think it is intended for more complicated likelihood functions (where
Nelder-Mead might fail).  And in any event it will only find the
parameters of the distribution rather than the parameters of some
underlying model, if this is what you're after.

Skipper