Constrained Maximum Likelihood Estimation Task
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A Constrained Maximum Likelihood Estimation Task is a Maximum Likelihood Estimation Task that is a Constrained Estimation Task.
- See: MLE, Constrained Optimization.
References
1997
- (Schoenberg, 1997) ⇒ Ronald Schoenberg. (1997). “Constrained Maximum Likelihood." Computational Economics 10, no. 3
- QUOTE: Constrained Maximum Likelihood (CML), developed at Aptech Systems, generates maximum likelihood estimates with general parametric constraints (linear or nonlinear, equality or inequality), using the sequential quadratic programming method. CML computes two classes of confidence intervals, by inversion of the Wald and likelihood ratio statistics, and by simulation. The inversion techniques can produce misleading test sizes, but Monte Carlo evidence suggests this problem can be corrected under certain circumstances.
1985
- (Hathaway, 1985) ⇒ Richard J. Hathaway. (1985). “A Constrained Formulation of Maximum-likelihood Estimation for Normal Mixture Distributions." The Annals of Statistics