[R] Difficulty in calculating MLE through NLM

[Madan Gopal Kundu]

Hi R-friends,

Attached is the SAS XPORT file that I have imported into R using following code
library(foreign)
mydata<-read.xport("C:\\ctf.xpt")
print(mydata)

I am trying to maximize logL in order to find Maximum Likelihood Estimate (MLE) of 5 parameters (alpha1, beta1, alpha2, beta2, p) using NLM function in R as follows.

# Defining Log likelihood - In the function it is noted as logL
> library(stats)
> loglike1<- function(x)
+ {
+ alpha1<-x[1]
+ beta1<-x[2]
+ alpha2<-x[3]
+ beta2<-x[4]
+ p<-x[5]
+ n<- mydata[3]
+ e<-mydata[4]
+ f1<- ((1+beta1/e)^(-n))*((1+e/beta1)^(-alpha1))*gamma(alpha1+n)/(gamma(n+1)*gamma(alpha1))
+ f2<- ((1+beta2/e)^(-n))*((1+e/beta2)^(-alpha2))*gamma(alpha2+n)/(gamma(n+1)*gamma(alpha2))
+ logL=sum(log(p*f1+(1-p)*f2))
+ logL<- -logL
+ }

# Supplying starting parameter values
> theta<-c(.2041,.0582, 1.4150, 1.8380,0.0969)

# Calculating MLE using NLM function
> result<- nlm(loglike1, theta, hessian=TRUE, print.level=1)

Now the problem is, this is not working as there is no improvement in final parameter estimate over starting values and NLM just stops just after 1 iteration with gradient value of all the 5 parameters as zero. I have tried other set of starting values, but then also I am getting final parameter estimates similar to starting values and iteration stops just after one step. When I check for warnings, R displays following kind of warnings:

 *   NA/Inf replaced by maximum positive value
 *   value out of range in 'gammafn'

Please suggest what I should do. I am expecting the final MLE of alpha1, alpha2, beta1 and beta2 greater than 0 and P should lie between 0 to 1.

Thanks & Regards,
Madan Gopal Kundu
Biostatistician, CDM, MACR, Ranbaxy Labs. Ltd.
Tel(O): +91 (0) 1245194045 - Mobile: +91 (0) 9868788406



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