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An Automated Profile‐Likelihood‐Based Algorithm for Fast Computation of the Maximum Likelihood Estimate in a Statistical Model for Crash Data

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  • Issa Cherif Geraldo

Abstract

Numerical computation of maximum likelihood estimates (MLE) is one of the most common problems encountered in applied statistics. Even if there exist many algorithms considered as performing, they can suffer in some cases for one or many of the following criteria: global convergence (capacity of an algorithm to converge to the true unknown solution from all starting guesses), numerical stability (ascent property), implementation feasibility (for example, algorithms requiring matrix inversion cannot be implemented when the involved matrices are not invertible), low computation time, low computational complexity, and capacity to handle high dimensional problems. The reality is that, in practice, no algorithm is perfect, and for each problem, it is necessary to find the most performing of all existing algorithms or even develop new ones. In this paper, we consider the computing of the maximum likelihood estimate of the vector parameter of a statistical model of crash frequencies. We split the parameter vector, and we develop a new estimation algorithm using the profile likelihood principle. We provide an automatic starting guess for which convergence and numerical stability are guaranteed. We study the performance of our new algorithm on simulated data by comparing it to some of the most famous and modern optimization algorithms. The results suggest that our proposed algorithm outperforms these algorithms.

Suggested Citation

  • Issa Cherif Geraldo, 2022. "An Automated Profile‐Likelihood‐Based Algorithm for Fast Computation of the Maximum Likelihood Estimate in a Statistical Model for Crash Data," Journal of Applied Mathematics, John Wiley & Sons, vol. 2022(1).
    • Handle: RePEc:wly:jnljam:v:2022:y:2022:i:1:n:6974166
    DOI: 10.1155/2022/6974166
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    1. Kenneth Lange & Eric C. Chi & Hua Zhou, 2014. "A Brief Survey of Modern Optimization for Statisticians," International Statistical Review, International Statistical Institute, vol. 82(1), pages 46-70, April.
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    Cited by:

    1. Issa Cherif Geraldo & Edoh Katchekpele & Tchilabalo Abozou Kpanzou, 2023. "A Fast and Efficient Estimation of the Parameters of a Model of Accident Frequencies via an MM Algorithm," Journal of Applied Mathematics, John Wiley & Sons, vol. 2023(1).

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