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12-26-2012 01:48 PM

Hi,

I have a model built in excel where the r and alpha parameters of a gamma distribution was optimized using the solver function.

I have to replicate the same thing in sas.

The Following is the equation that has been used :

lnΓ(r + x)− lnΓ(r)+ r ln(α) − (r + x) ln(α + T) which when coded looks like

GAMMALN($B$1+B6)-GAMMALN($B$1)+$B$1*LN($B$2)-($B$1+B6)*LN($B$2+C6

(B1= r & B2 = alpha)

I calculated the log likelihood first with r and alpha as 1. Then i maximized the log-likelihood by placing constraints like r and alpha are > 0 and is a small +ve integer number >= 0.00001

Can someone tell me how to replicate this in SAS using proc optmodel or is there any other way to do this.

Thanks for the help!

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09-08-2015 04:05 PM

Questions about PROC OPTMODEL in SAS/OR are better suited for the Mathematical Optimization and Operations Research Community. If you still need help, please post there.