[R] maxNR in maxLik package never stops

[Arne Henningsen]

Hi Martin!

Which version of maxLik do you use?
(You can figure this out, e.g. by typing 'help( package = "maxLik" )'
at the R prompt.)

If you are not using version 0.8-0, please upgrade to the latest version.

You can get more information on the optimization process by adding
"print.level=4" as argument of maxLik() or maxNR().

You could send us also an example which allows us to replicate your problem.

Best wishes,
Arne


On 29 August 2010 01:06, "Martin Boďa" <hcd at azet.sk> wrote:
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> Greetings,
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>  I use maxNR function under maxLik package to find the REML estimates of the parameters of variance components in heteroskedastic linear regression models. I assume that in the model there is additive/multiplicative/mixed heteroskedasticity and I need estimate the respective parameters of additive/multiplicative/mixed variance components.
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>  For my research purposes I make a batch of simulations and estimate for the given design matrix but different (simulated) response vectors the variance component parameters. However, it happens very frequently, usually after the first simulation that the log-likelihood function maximization step (for which maxNR is used) R "freezes". It appears nothing wrong with R, it is working but the maximization never stops (frankly, I cannot say that it is really "never", I did not allow it more time than one day). Therefore, my simulations crash - I cannot even perform one simulation.
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>  I see two possible solutions:
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>  1. Using some additional parameters of maxNR (such as number of iterations or something).
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>  2. Using some function that could help me control the length of the maximization step - if it were to take to long, it would be evaluated as an unsuccessful simulation.
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>  Since I do not have much experience with R, it is clear to me that I cannot resolve the thing myself. Maybe there are other viable solutions.
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>  I shall be much obliged for your help and advice.
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> Martin Boďa
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>  (Matej Bel University / Faculty of Natural Sciences / Banská Bystrica / Slovakia).
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-- 
Arne Henningsen
http://www.arne-henningsen.name