mle_weighted: Accepts a list of 'mle' objects for some parameter, say...

In queelius/algebraic.mle: Algebraic Maximum Likelihood Estimators

Accepts a list of 'mle' objects for some parameter, say 'theta', and combines them into a single estimator 'mle_weighted'.

Description

It combines the 'mle' objects by adding them together, weighted by the inverse of their respective variance-covariance matrix (information matrix). Intuitively, the higher the variance, the less weight an 'mle' is given in the summation, or alternatively, the more information it has about the parameter, the more weight it is given in the summation.

Usage

mle_weighted(mles)

Arguments

mles	A list of 'mle' objects, all for the same parameter.

Details

Each 'mle' object should have an 'observed_fim' method, which returns the Fisher information matrix (FIM) for the parameter. The FIM is assumed to be the negative of the expected value of the Hessian of the log-likelihood function. The 'mle' objects should also have a 'params' method, which returns the parameter vector.

We assume that the observations used to estimate each of the MLE objects in 'mles' are independent.

Value

An object of type 'mle_weighted' (which inherits from 'mle') that is the weighted sum of the 'mle' objects.

queelius/algebraic.mle documentation built on Jan. 29, 2025, 3:23 p.m.