# Hypothesis testing with LogLikelihood methods in Mathematica

I'm trying to understand Likelihood methods and hypothesis. To this end I am trying to construct small examples that I can play with. Let's say I have some data which I know (or suspect follows the function) $$f(x) = (x + x_0)^{2}$$ and I want to find out the value of the parameter $$x_{0}$$ and the associated error using likelihood methods.

Let us then make some pretend experimental data:

f[x0_, x_] := (x + x0)^2

ExperimentData = Table[{x, f[-1.123, x] + RandomVariate[NormalDistribution[0, 0.25]]}, {x, 0, 3, 0.1}];


Then let us construct some test data where I "guess" my parameter $$x_{0}$$. I replace $$x_{0}$$ with the parameter $$\theta$$ to represent my test value:

TestData =
Table[
{\[Theta], Table[{x, f[\[Theta], x]}, {x, 0, 3, 0.1 }]},
{\[Theta], 0.5, 1.6, 0.1}
];


How can I use LogLikelihood to make to a hypothesis test, Using my TestData? The motivation is if I cannot construct a pure function, for example if I generate my test data from a numeric intergeneration.

My approach so far is to maximise the log-likelihood of the "residuals"

X = ExperimentData[[All, 2]];
MLLTest =
Table[
\[Theta] = TestData[[i, 1]];
F = TestData[[i, 2]][[All, 2]];
MLL =
FindMaximum[
LogLikelihood[NormalDistribution[\[Mu], \[Sigma]],
X - F], {{\[Mu], 0}, {\[Sigma], 0.25}}][];
{\[Theta], MLL},
{i , 1, Length[TestData]}
];


Then if I plot the Maximum Log-Likelihood as a function of my guess parameter $$\theta$$.

However this is clearly wrong, so I think I misunderstand something about the Log-Likeihood in this context.

Small clarification: While in the example I have shown this can be solved without the need for test data, I am using this as a toy model for cases where the function $$f(x)$$ is some integral with no closed form solution. Meaning I would need to numerically calculate $$f(x)$$ for a given parameter value, then compare this against my experimentally measured data.

Second Attempt It's possible I am chasing a red herring here, but in an attempt to try and describe what I want to achieve, here's a second example. First my "Experiment Data":

ExperimentData =
Table[
{x, f[-0.5, x] +  RandomVariate[NormalDistribution[0, 0.02 ]]},
{x, 0, 1, 0.025}
];


Next my test data, in practice this wouldn't come from such a trivial function as defined above, but perhaps from a model that I may only calculate numerically:

TestData =
Table[
{
x0, Table[f[x0, x], {x, 0, 1, 0.025}]
},
{x0, -1, 0, 0.1}
];


Note that I generate data for different values of $$x_0$$. Next, my actual evaluation:

X = ExperimentData[[All,2]];
test =
Table[
x0Test = TestData[[i, 1]];
F = TestData[[i, 2]];
R = F - X;

MLL = FindMaximum[{LogLikelihood[NormalDistribution[M, S], F - X], S > 0}, {M, S}][];
{x0Test, MLL},
{i, 1, Length[TestData]}
]


If I plot the MLL as a function of test parameter I get: Note that the maximum occurs around my true value. Superficially, this is similar to a Chi-Square test.

If my approach is valid, how can I properly extract a parameter estimate and error with this method?

• The creation of TestData is more than completely unnecessary. $x_0$ should be estimated from ExperimentalData. I'll write an answer shortly.
– JimB
Aug 2, 2020 at 14:17
• Would this be relevant to your problem? mathematica.stackexchange.com/questions/137988/… Aug 2, 2020 at 17:24

There is no need (or reason) to create TestData. The parameter x0 can be directly estimated from ExperimentData. Also you likely have 2 parameters to estimate: x0 and the error variance (unless you're able to specify that as known which is rare).

(* Generate data *)
SeedRandom; ExperimentData =
Table[{x, f[-1.123, x] + RandomVariate[NormalDistribution[0, 0.25]]}, {x, 0, 3, 0.1}];

(* Log of likelihood *)
logL = LogLikelihood[NormalDistribution[0, σ],
ExperimentData[[All, 2]] - (ExperimentData[[All, 1]] + x0)^2];

(* Maximum likelihood estimates of x0 and σ *)
mle = FindMaximum[{logL, σ > 0}, {x0, σ}]
(* {0.00637381, {x0 -> -1.11687, σ -> 0.241921}} *)


What you've described (in your simplified example) is a nonlinear regression which can be performed with NonlinearModelFit if the error structure has a common (meaning identical variance for all observations) univariate normal distribution. I would imagine you're contemplating other distributions.

• Ok. Understood. There are lots of examples on this site where the function to be fit in NonlinearModelFit uses NIntegrate.
– JimB
Aug 2, 2020 at 15:32
• Your real data is different from your test data. No two ways about it. You don't need a test for that. I assume, however, that you want to compare common parameters between two different models and you happen to have a single dataset from each model. Therefore, the models need specification as to their parameters and error structures. One makes inferences about parameters from data as opposed to making inferences between datasets (well, usually).
– JimB
Aug 2, 2020 at 17:30
• I've made one final edit to my question, that maybe illustrates what I am trying to achieve. If not I think I have just badly misunderstood something. My change is under the heading second attempt. Aug 2, 2020 at 20:29
• If you can tolerate another complaint: you're mixing up estimation with hypothesis testing. Either you want to estimate a parameter or test a hypothesis about a parameter. The language in the question should stick to just one of those approaches.
– JimB
Aug 2, 2020 at 23:21
• Or just clarify the current question. An example of my confusion: I can't tell if you want to estimate a parameter from a single dataset (either ExperimentData or TestData) or test a pre-specified value of $x_0$ against a dataset (ExperimentData or TestData) or something else. Also is it "maximum likelihood estimation" or "likelihood ratio test" that is of interest (as opposed to just using the term "LogLikelihood") because both use the log of the likelihood.
– JimB
Aug 3, 2020 at 15:12

Work with something like this:

EstimatedDistribution[ExperimentData[[All, 2]],
NormalDistribution[\[Alpha], \[Beta]],
ParameterEstimator -> "MethodOfMoments"]


(NormalDistribution[0.084346, 0.0787433])

EstimatedDistribution "Method-of-moment-based estimators may not satisfy all restrictions on parameters." but if they do it is good.

EstimatedDistribution[ExperimentData[[All, 2]],
NormalDistribution[\[Alpha], \[Beta]],
ParameterEstimator -> "MaximumLikelihood"]


(NormalDistribution[0.084346, 0.0787433]) is the close related same with the desired "MaximumLikelihood" so maximize the log-likelihood function.

• I think you've missed something. This would be relevant if I wanted to know something about the noise distribution. I want to do a Hypothesis Test with Likelihood methods. Aug 6, 2020 at 7:51
• In that case You have to sample about the x0 and the values under uncertainty. That is not done. You prepare Your sample with the stochasticity that is dealed properly on with my suggested solution. This is not a misconception of mine. I took the sample You use into the best suited Mathematica input. Aug 7, 2020 at 7:45