[R] Quick Question - MLE for Geometric Brownian Motion Process with Jumps

2009-04-05 Thread John-Paul Taylor 

Hi All,


I am relatively new to R and having a great experience with it but have come up 
with a little road block. 

I am tying to run a maxlik regression and keep getting the error,
NA in the initial gradient

My Code is below:
gbmploglik-function(param){
mu-param[1]
sigma-param[2]
lamda-param[3]
nu-param[4]
gama-param[5]
logLikVal- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in 
1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( - 
(combinedlrph1-mu-j*nu)^2/2*(sigma^2+j*gama^2
logLikVal
}
rescbj- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(1,1,1,1,1), 
method = Newton-Raphson)

I was wondering if there is something that I have to do with the grad= and 
maybe put something other then NULL. The other issue is that there might be 
something wrong with the loglikelihood function, because of the loop that I put 
in it.

If you have any suggestion or see something incorrect that I am doing please 
let me know.

Thanks

JP

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Re: [R] Quick Question - MLE for Geometric Brownian Motion Process with Jumps

2009-04-05 Thread Dieter Menne 
John-Paul Taylor johnpaul.taylor at ryerson.ca writes:

 
 
 I am tying to run a maxlik regression and keep getting the error,
 NA in the initial gradient
 
 My Code is below:
 gbmploglik-function(param){
   mu-param[1]
   sigma-param[2]
   lamda-param[3]
   nu-param[4]
   gama-param[5]
   logLikVal- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in
 1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlrph1-mu-j*nu)^2/2*(sigma^2+j*gama^2
   logLikVal
 }
 rescbj- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(1,1,1,1,1),
method = Newton-Raphson)
 
 I was wondering if there is something that I have to do with the grad= and
maybe put something other then NULL.
 The other issue is that there might be something wrong with the loglikelihood
function, because of the
 loop that I put in it.

I have not used that function, but the error message is rather clear in 
telling you that your start values are not good. Try to plot the function 
and the  gradient at that point. Sometime moving by a very small amount 
helps.

Dieter

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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.