On 09/03/2011 08:22 PM, dave fournier wrote:
>
> I wonder if your code is correct?
>
> I ran your script until an error was reported. the data set
> of 30 obs was
>
>
> [1] 0 0 1 3 3 3 4 4 4 4 5 5 5 5 5 7 7 7 7 7 7 8
> 9 10 11
> [26] 12 12 12 15 16
>
> I created a tiny AD Model Builder program to do MLE on it.
>
> DATA_SECTION
> init_int nobs
> init_vector y(1,nobs)
> PARAMETER_SECTION
> init_number log_mu
> init_number log_alpha
> sdreport_number mu
> sdreport_number tau
> objective_function_value f
> PROCEDURE_SECTION
> mu=exp(log_mu);
> tau=1.0+exp(log_alpha);
> for (int i=1;i<=nobs;i++)
> {
> f-=log_negbinomial_density(y(i),mu,tau);
> }
> It converged quickly and
>
> The eigenvalues of the Hessian were
>
> 4.711089774 78.27632341
>
> and the estimates and std devs of the parameters mu and tau were
>
> index name value std dev
>
> 3 mu 6.6000e+00 7.7318e-01
> 4 tau 2.7173e+00 7.8944e-01
>
> where tau is the variance divided by the mean.
>
> This was all so simple that I suspect your (rather difficult to read)
> R code is wrong, otherwise R must really suck at this kind of problem.
I'd put my money on R!
Paul
>
> Dave
>
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--
Paul Hiemstra, Ph.D.
Global Climate Division
Royal Netherlands Meteorological Institute (KNMI)
Wilhelminalaan 10 | 3732 GK | De Bilt | Kamer B 3.39
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tel: +31 30 2206 494
http://intamap.geo.uu.nl/~paul
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