[R] Question regarding to maxNR

[Bill.Venables at csiro.au]

PS there is a better option still.  Replace

log(prod(dcauchy(x,mu,s)))

with

sum(dcauchy(x,mu,s, log = TRUE))

For huge samples this will me milliseconds faster...

Bill Venables
CSIRO/CMIS Cleveland Laboratories


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Bill.Venables at csiro.au
Sent: Friday, 12 March 2010 4:23 PM
To: yhsu6 at illinois.edu; r-help at r-project.org
Subject: [ExternalEmail] Re: [R] Question regarding to maxNR

Your problem is numerical.

Try replacing

log(prod(dcauchy(x,mu,s)))

by

sum(log(dcauchy(x,mu,s)))

and see the difference.  Here's what I get:

> mu <- 2
> s <- 1
> n <- 300
> library(maxLik)
> set.seed(1004)
> x <- rcauchy(n,mu,s)
> loglik <- function(mu) {
+   sum(log(dcauchy(x,mu,s)))
+ }
> maxNR(loglik,start=median(x))$estimate 
[1] 2.075059

which looks about right to me.

Bill Venables
CSIRO/CMIS Cleveland Laboratories


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of kate
Sent: Friday, 12 March 2010 3:21 PM
To: r-help at r-project.org
Subject: [R] Question regarding to maxNR

Hi R-users,

Recently, I use maxNR function to find maximizer. I have error appears as follows
Error in maxNRCompute(fn = fn, grad = grad, hess = hess, start = start,  : 
  NA in the initial gradient

My code is 

mu=2
s=1
n=300
library(maxLik)
set.seed(1004)
x<-rcauchy(n,mu,s)
loglik<-function(mu)
{
log(prod(dcauchy(x,mu,s)))
}
maxNR(loglik,start=median(x))$estimate 


Does anyone know how to solve this problem?

Thanks,

Kate


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