[R] maximum likelihood estimation of 5 parameters
francogrex
francogrex at mail.com
Fri Jan 5 23:00:51 CET 2007
No I have not forgotten to use a negative fnscale to optimize, so as you
suggest I will post some parts of the code I am running to show you the
errors:
> n
[1] 3 1 4 54 6 58 20 14 3 14 4 65 1 7 9 10 2 4
66
[20] 5 9 7 12 7 55 105 2 5 10 55 5 28 1 1 6 2 1
30
[39] 6 49 7 21 8 7
> e
[1] 21.763201 1.209070 4.836270 32.644798 19.546600 24.584400 30.226700
[8] 6.045340 14.010100 3.113350 21.015100 12.583100 15.826200 19.458401
[15] 3.891690 1.329970 0.241814 3.143580 13.057900 0.725441 18.136000
[22] 2.187660 6.319900 1.701510 29.654900 36.460999 7.292190 1.215370
[29] 3.209070 19.995001 11.972300 3.455920 0.138539 0.113350 1.360200
[36] 1.889170 1.518890 18.226700 4.050380 27.340099 1.181360 16.370300
[43] 20.589399 25.314899
> fr<-function(a1,b1,a2,b2,p){
+
+ w<-((gamma(a1+n)))/((gamma(a1)*factorial(n))*(1+(e/b1)^a1)*(1+(b1/e)^n))
+ z<-((gamma(a2+n)))/((gamma(a2)*factorial(n))*(1+(e/b2)^a2)*(1+(b2/e)^n))
+
+ sum (log( (p*w)+ ((1-p)*z) ))
+
+ }
>
> mle((fr),
> start=list(a1=0.2,b1=0.1,a2=2,b2=4,p=0.33),method="BFGS",control=list(fnscale=-1))
Error in optim(start, f, method = method, hessian = TRUE, ...) :
non-finite finite-difference value [2]
And with the L-BFGS-B:
Error in optim(start, f, method = method, hessian = TRUE, ...) :
L-BFGS-B needs finite values of 'fn'
AND WITH NELDER-MEAD it doesn't work either (same error), but when I change
intial parameters (though I shouldn't, it gives something very weird
(negatives or sometimes huge values).
Call:
mle(minuslogl = (fr), start = list(a1 = 1, b1 = 1, a2 = 10, b2 = 10,
p = 0.9), method = "Nelder-Mead", control = list(fnscale = -1))
Coefficients:
a1 b1 a2 b2 p
-2.5035823 0.6236359 26.5562988 12.9604112 -0.1383767
Thanks
Ravi Varadhan wrote:
>
> Franco,
> Is it possible that you have failed to provide the negative of
> loglikelihood
> to "optim", since optim, by default, minimizes a function? If you want to
> do this withput redefining the log-likelihood, you should set fnscale= -1
> (as hinted by Prof. Ripley). This would turn the problem into a
> maximization problem.
>
> If this doesn't work, you should provide more details (a reproducible code
> with actual error message).
>
> Ravi.
>
> ----------------------------------------------------------------------------
> -------
>
> Ravi Varadhan, Ph.D.
>
> Assistant Professor, The Center on Aging and Health
>
> Division of Geriatric Medicine and Gerontology
>
> Johns Hopkins University
>
> Ph: (410) 502-2619
>
> Fax: (410) 614-9625
>
> Email: rvaradhan at jhmi.edu
>
> Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
>
>
>
> ----------------------------------------------------------------------------
> --------
>
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of francogrex
> Sent: Friday, January 05, 2007 10:42 AM
> To: r-help at stat.math.ethz.ch
> Subject: Re: [R] maximum likelihood estimation of 5 parameters
>
>
>
> Franco,
> You can provide lower and upper bounds on the parameters if you use optim
> with method="L-BFGS-B".
> Hth, Ingmar
>
> Thanks, but when I use L-BFGS-B it tells me that there is an error in
> optim(start, f, method = method, hessian = TRUE, ...) : L-BFGS-B needs
> finite values of 'fn'
>
> --
> View this message in context:
> http://www.nabble.com/maximum-likelihood-estimation-of-5-parameters-tf292536
> 4.html#a8180120
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>
--
View this message in context: http://www.nabble.com/maximum-likelihood-estimation-of-5-parameters-tf2925364.html#a8186869
Sent from the R help mailing list archive at Nabble.com.
More information about the R-help
mailing list