maxLik: A package for maximum likelihood estimation in R

This paper describes the package maxLik for the statistical environment R. The package is essentially a unified wrapper interface to various optimization routines, offering easy access to likelihood-specific features like standard errors or information matrix equality (BHHH method). More advanced fe...

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Bibliographic Details
Published inComputational statistics Vol. 26; no. 3; pp. 443 - 458
Main Authors Henningsen, Arne, Toomet, Ott
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.09.2011
Springer Nature B.V
Subjects
Algorithms
Computation
Economic Theory/Quantitative Economics/Mathematical Methods
Freeware
Mathematics and Statistics
Maximum likelihood estimation
Maximum likelihood method
Methods
Normal distribution
Optimization
Optimization algorithms
Original Paper
Packages
Probability and Statistics in Computer Science
Probability Theory and Stochastic Processes
Routines
Software
Software packages
Standard error
Statistics
Studies
Optimization
C87
Maximum likelihood
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Summary:This paper describes the package maxLik for the statistical environment R. The package is essentially a unified wrapper interface to various optimization routines, offering easy access to likelihood-specific features like standard errors or information matrix equality (BHHH method). More advanced features of the optimization algorithms, such as forcing the value of a particular parameter to be fixed, are also supported.
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ISSN:0943-4062
1613-9658
DOI:10.1007/s00180-010-0217-1