Hello,
 
I am trying to compute MLE for non-Gaussian AR(1). The error term follows a difference poisson distribution. This distribution has one parameter (vector[2]).
So in total I want to estimate two parameters: the AR(1) paramter (vector[1]) and the distribution parameter.
My function is the negative loglikelihood derived from a mixing operator.
 
f=function(vector) -sum(log((vector[1]*data$I)+((1-vector[1])*((exp(-2*vector[2]))*besselI(2*vector[2],data$PC)))))
 
nlm(f,p=c(-0.2354,0.00003269))

Error in nlm(f, p = c(-0.2354, 3.269e-05)) : 
  non-finite value supplied by 'nlm'

In addition: There were 50 or more warnings (use warnings() to see the first 50)
 
warnings()
Warning messages:
1: In besselI(2 * vector[2], data$PC) : value out of range in 'bessel_i'                           # all warnings are the same
 
 
I would like to know what are the possible ways to avoid having non-finite value.
 
Thank you very much.
 
H.

 		 	   		  
_________________________________________________________________
Hotmail: Trusted email with Microsoft’s powerful SPAM protection.

	[[alternative HTML version deleted]]