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Custom LogLikelihood function

Posted 5 months ago
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Hello everyone, I am new in the group and I would like to ask you a very basic question about LogLikelihood function creation. Is it possible to create LogLikelihood function by using a custom PDF, namely: I have a custom function, f, that I've created using the PDF[dist,x], how can I create the LogLikelihood function of f ? i tried to use directly f in LogLikelihood[dist,{x1,x2,...}] does not work to me. Any advice will be really appreciated, best regard Damiano

Hi Paolo
The answer is yes you can. The problem with your approach is that entering a pdf into LogLikelihood function. If you looked at the documentation you can see that it takes a distribution. You should do the following:-
First define your distribution using the formula of your pdf in the function ProbabilityDistribution

Then use this defined distribution in LogLikelihood.

Don't forget while defining your distribution to put some assumptions on your parameters if there is any.

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