Hi,all: I am running a nonlinear regression and there is a problem. There is a data frame: data p s x t 1 875.0 12392.5 11600 0.06967213 2 615.0 12332.5 12000 0.06967213 3 595.0 12332.5 12000 0.06967213 4 592.5 12337.0 12000 0.06967213 5 650.0 12430.0 12000 0.06967213 6 715.0 12477.5 12000 0.06967213 . . . . str(data): 'data.frame': 234 obs. of 4 variables: $ p: num 875 615 595 592 650 ... $ s: num 12392 12332 12332 12337 12430 ... $ x: num 11600 12000 12000 12000 12000 12000 12200 12200 12200 12200 ... $ t: num 0.0697 0.0697 0.0697 0.0697 0.0697 ...
My code to estimate a0,a1,a2: bs<-function(s,x,t,a0,a1,a2){ v=exp(a0+a1*(x/s)+a2*(x/s)^2) d1=(log(s/x)+(v^2)*t/2)/(v*sqrt(t)) d2=(log(s/x)-(v^2)*t/2)/(v*sqrt(t)) s*pnorm(d1)-x*pnorm(d2) } res<-nls(p~bs(s,x,t,a0,a1,a2),data=data,start=list(a0=-100,a1=100,a2=-100)) It returns the error: Error in nlsModel(formula, mf, start, wts) : singular gradient matrix at initial parameter estimates By the way, bs function actually based on the Black-sholes option pricing model. There is a specific function in Rmetrics, can I call the function in Rmetrics package? Something like this: bs<-function(s,x,t,a0,a1,a2,...){ v=exp(a0+a1*(x/s)+a2*(x/s)^2) GBSOption(TypeFlag=c("c"),S=s,X=x,Time=t,r=0,b=0,sigma=v)@price } When I use this one, it returns the error similar to the upper one. Please help me, many thanks. Ted -- View this message in context: http://www.nabble.com/error-in-function%3A-nls--%28urgent%29-tp20558499p20558499.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.