[R] log(0) problem in max likelihood estimation
wsi at gcal.ac.uk
Tue Jan 9 17:32:46 CET 2001
This practical problem in maximum likelihood estimation must be
encountered quite a bit. What do you do when a data point has a
probability that comes out in numerical evaluation to zero? In calculating
the log likelihood you then have a log(0) problem.
Here is a simple example (probit) which illustrates the problem:
yes<-round(ntrials*pnorm((x-3)/1)) #points fall on normal CDF mean=3, sd=1
loglike<-function(b) -sum( yes*log(py(b,x)) + no*log(1-py(b,x)) )
In this example the right-most point gives a p(yes) of 1; 1-1=0; log(0)
gives "NA/Inf replaced by maximum positive value"
Please tell me how to deal with this problem. Thanks very much for any
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