
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.
 		 	   		  
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