Two possible problems:
(a) If you're working with a normal likelihood---and it seems that you
are---the exponent should be squared. As in:
... + (1/(2*stdev*stdev))*sum( ( y-(rev/12)-lag(y)*exp(-lap/12) )^2 )
(b) lag may not be working like you think it should. Consider this silly
example:
y<-c(1,2,3,5,34,2,3,5,2)
lag(y)-y
lag(ts(y))-ts(y)
Good luck,
-tgs
On Wed, Apr 21, 2010 at 8:14 AM, Henkep <flyerhe...@hotmail.com> wrote:
>
> Dear R-Help,
>
> I also send the following post by e-mail to you, however I try to post it
> here aswell. My name is Henrik and I am currently trying to solve a Maximum
> Likelihood optimization problem in R. Below you can find the output from R,
> when I use the "BFGS" method:
>
> The problem is that the parameters that I get are very unreasonable, I
> would
> expect the absolute value of each parameter to be bounded by say 5.
> (furthermore the variable stdev should be greater than zero).
>
> One of the problems seems to be that I need to bound the stdev-variable
> from
> below by zero to avoid the NaN:s produced. I unfortunately do not know how
> to do that.
>
> Below "y" is the dataset, to which, I want to fit the parameters. I.e. y is
> the vector (or R equivalent) of observations.
> I have also multiplied the log-likelihood function by -1, since I know that
> R by default minimizes the objective function.
>
> I would be very happy if you can come up with some Ideas on what is going
> wrong in the code below.
>
> Thank you for your time!
>
> Henrik
>
>
> > data<-read.table(file="c:/users/oukal.csv",header=TRUE)
> > y<-data$V1
> > loglik<-function(estimate,y)
> + {
> + lap<-estimate[1]
> + stdev<-estimate[2]
> + rev<-estimate[3]
> + n<-length(y)
> +
> + 0.5*n*log(2*pi)+ 0.5*n*log(stdev) +
> + (1/(2*stdev*stdev))*sum(y-(rev/12)-lag(y)*exp(-lap/12))
> + }
> >
> > optim(c(4,4,4),loglik,y=y,method="BFGS")
> $par
> [1] -4884.34155 445.52350 88.53777
> $value
> [1] -1.910321e+174
> $counts
> function gradient
> 290 7
> $convergence
> [1] 0
> $message
> NULL
> There were 50 or more warnings (use warnings() to see the first 50)
>
> --
> View this message in context:
> http://n4.nabble.com/Maximum-Likelihood-Estimation-in-R-tp2018822p2018822.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.
>
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