*"Newton's method, also called the Newton-Raphson method, is a root-finding algorithm that uses the first few terms of the Taylor series of a function f(x) in the vicinity of a suspected root."*- http://mathworld.wolfram.com/NewtonsMethod.html

Given we want to find some root value x* that optimizes the function f(x) such that f(x*)=0, we start with an initial guess x

_{n}and expand around that point with a taylor series:
f(x

_{n}+ Δx ) = f(x_{n}) + f’(x_{n})Δx + …=0 where Δx represents the difference between the actual solution x* and the guess x_{n}.
Retaining only the first order terms we can solve for Δx :

Δx = -[f(x

_{n})/f’(x_{n})]
If x

_{n}is an initial guess, the next guess can be obtained by:
x

_{n+1}= x_{n}- [f(x_{n})/f’(x_{n})]
Note as we get closer to the true root value x*, f(x

_{n}) gets smaller and Δx gets smaller, such that the value x_{n+1}from the next iteration changes little from the previous. This is referred to as convergence to the root value x*, which optimizes f(x).**Numerical Estimation of Maximum Likelihood Estimators**

Recall, when we undertake MLE we typically maximize the log of the likelihood function as follows:

Max Log(L(β)) or LL ‘log likelihood’ or solve:

∂Log(L(β))/∂β = 0 = 'score matrix' = u( β) = 0

Max Log(L(β)) or LL ‘log likelihood’ or solve:

∂Log(L(β))/∂β = 0 = 'score matrix' = u( β) = 0

Generally, these equations aren’t solved directly, but solutions ( β

^{hat}'s) are derived from an iterative procedure like the Newton-Raphson algorithm.
Following the procedure outlined above, let

β

^{t}= initial guess or parameter value at iteration t
β

^{t+1}= β^{t}–[ ∂ u(β^{t}) / ∂ β^{t}]^{-1}[u(β^{t})]
(note the product in the 2

^{nd}term is the same as –[f(x_{n})/f’(x_{n})]
given [∂ u(β

_{0}) / ∂β] = hessian matrix ‘H’ and u( β) = ∂Log(L(β))/∂β = score matrix ‘S’
the update function can be rewritten as:

β

^{t+1}= β^{t}–H^{-1}(β^{t}) S (β^{t})**Step 1:**Guess initial value β

^{t}

**Step 2:**Evaluate update function to obtain β

^{t+1}

**Step 3:**Repeat until convergence (differences between estimates approach zero)

**Fisher Scoring**

Similar to Newton's method above, but replace H

^{-1}with its expected value E(H^{-1}) = I^{-1}and use
β

^{hat}= β_{0}- I^{-1}(β_{0}) *u(β_{0}) in the update, repeating until convergence.
## No comments:

## Post a Comment

Note: Only a member of this blog may post a comment.