[R] maximum-likelihood-estimation with mle()

[Ben Bolker]

peter dalgaard <pdalgd <at> gmail.com> writes:

> 
> You are being over-optimistic with your starting values, and/or 
> with constrains on the parameter space. 
> Your fit is diverging in sigma for some reason known
>  only to nonlinear-optimizer gurus...
> 
> For me, it works either to put in an explicit
>  constraint or to reparametrize with log(sigma).

  [snip]

  Another few strategies:

set.seed(101)
x <- 1:10
y <- 3*x - 1 + rnorm(length(x), mean=0, sd=0.5)

library("stats4")
nLL <- function(a, b, sigma) {
  -sum(dnorm(y, mean=a*x+b, sd=sigma, log=TRUE))
}

fit <- mle(nLL, start=list(a=0, b=0, sigma=1), nobs=length(y))


   Nelder-Mead is generally more robust than BFGS, although slower:


fit2 <- mle(nLL, start=list(a=0, b=0, sigma=1),
     method="Nelder-Mead",nobs=length(y))

   bbmle can be used to simplify things slightly (this repeats
Peter Dalgaard's transformation of sigma):

library("bbmle")
fit3 <- mle2(y~dnorm(mean=mu,sd=exp(logsigma)),
   parameters=list(mu~x),
   data=data.frame(x,y),
   start=list(mu=0, logsigma=0))

  You can also profile out the sigma:

## dnorm with sd profiled out
dnorm2 <- function(x,mean,log=FALSE) {
  ssq <- sum((x-mean)^2)
  dnorm(x,mean,sd=sqrt(ssq/length(x)),log=log)
}
fit4 <- mle2(y~dnorm2(mean=mu),
   parameters=list(mu~x),
   data=data.frame(x,y),
   start=list(mu=0))