[R] Geometric Brownian Motion Process with Jumps

[Ravi Varadhan]

Hi,

The error message is clear in that the gradient cannot be evaluated at your
starting value for the parameters.   

Is your likelihood a smooth function of parameters?  If so, then provide a
different starting value. If it is not smooth, then you may have to use a
method that does not depend on gradients, such as Nelder-Mead.

Can you provide a reproducible example, which would help us dig deeper into
your problem?

Ravi. 

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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

 

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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of John-Paul Taylor
Sent: Friday, April 03, 2009 8:30 AM
To: r-help at r-project.org
Subject: Re: [R] Geometric Brownian Motion Process with Jumps



Hi,


I have been using maxLik to do some MLE of Geometric Brownian Motion Process
and everything has been going fine, but know I have tried to do it with
jumps. I have create a vector of jumps and then added this into my
log-likelihood equation, know I am getting a message:

NA in the initial gradient

My codes is hear

#
n<-length(combinedlr)
j<-c(1,2,3,4,5,6,7,8,9,10)
gbmploglik<-function(param){
	mu<-param[1]
	sigma<-param[2]
	lamda<-param[3]
	nu<-param[4]
	gama<-param[5]
	logLikVal<- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in
1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlr-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))
	logLikVal
}
rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(0,1,1,1,1),
method = "Newton-Raphson")
summary(rescbj)
#

I am also was wondering if anyone know if there was a package that dealt
with Geometric Brownian Motion Process augmented with jumps. Then I could
just put that into my code and might resolve the issue. 

Any suggest as to how to resolved this issue, are greatly apprecaited.

Yours truly,

JP

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