logit.ox

时间序列分析中著名的OxMetrics软件包

// Simple logit log-likelihood
logit(const theta, const obj, const score, const hess)
{
	decl prob, log_density, derivatives, ok;

	prob = 1 ./ (1 + exp(-x*theta));
	log_density = y .* log(prob) + (1 - y) .* log(1 - prob);

    obj[0] = meanc(log_density);  // average log-density

	return 1; // MaxBFGS needs the procedure to return 0 or 1
}