[R] Optim and likelihood computations

Spencer Graves spencer.graves at pdf.com
Wed Mar 29 21:10:01 CEST 2006

	  For general maxiimum likelihood estimation, have you considered the 
function "mle" in library(stats4)?  I've learned some things (a) reading 
the documentation for "mle" and for other topics listed under "See Also" 
and (b) working the "Examples" in the documentation.

	  Regarding AR structures, there are many capabilities for time series 
in R scattered in numerous packages.  Since you are new to R, have you 
read Venables and Ripley (2002) Modern Applied Statists with S 
(Springer)?  Ch. 14 deals with time series.  I highly recommend this 
book for R in general, and this chapter provides a reasonable 
introduction to a few of the time series capabilities in the base R 

	  Beyond that, have you worked through the vignettes associated with 
the "zoo" package? If no, you might find that quite useful. [Are you 
aware that edit(vignette(...)) will provide a script file with the R 
code discussed in the vignette, which can be viewed in Adobe Acrobat 
while you are working throught the examples line by line, modifying 
them, etc.? I've found this to be very useful. If you use XEmacs, 
"edit(vignette(...))" may not work. Instead, try 
Stangle(vignette(...)$file). This will copy the R code to a file in the 
working directory, which you can then open.]

	  I've also found the dse bundle and its vignettes very interesting and 
usefulfor time series.  Beyond that, you might try the Rmetrics project 

	  I expect that other questions will occur to you in the process of 
reviewing or trying to apply some of the material I just suggested. 
Please feel free to post other questions to this list -- but please 
first also review the posting guide! 
"www.R-project.org/posting-guide.html";  doing so might increase your 
chances of getting useful answers quicker.

	  hope this helps.
	  spencer graves

Antonio_Paredes at aphis.usda.gov wrote:

> Hello everyone.
> I want to  write some likelihood functions to use with optim. For example 
> AR-structures, I have written a couple of functions that appear to get the 
> job done. But, since I am new to R, I wanted to ask if there are any 
> references in this topic. 
> Thanks in advance,
> *******************************************
> Antonio Paredes
> USDA- Center for Veterinary Biologics
> Biometrics Unit
> 510 South 17th Street, Suite 104
> Ames, IA 50010
> (515) 232-5785
> 	[[alternative HTML version deleted]]
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