# [R] maximum likelihood estimation of 5 parameters

francogrex francogrex at mail.com
Fri Jan 5 23:00:51 CET 2007

```No I have not forgotten to use a negative fnscale to optimize, so as you
suggest I will post some parts of the code I am running to show you the
errors:

> n
   3   1   4  54   6  58  20  14   3  14   4  65   1   7   9  10   2   4
66
   5   9   7  12   7  55 105   2   5  10  55   5  28   1   1   6   2   1
30
   6  49   7  21   8   7
> e
 21.763201  1.209070  4.836270 32.644798 19.546600 24.584400 30.226700
  6.045340 14.010100  3.113350 21.015100 12.583100 15.826200 19.458401
  3.891690  1.329970  0.241814  3.143580 13.057900  0.725441 18.136000
  2.187660  6.319900  1.701510 29.654900 36.460999  7.292190  1.215370
  3.209070 19.995001 11.972300  3.455920  0.138539  0.113350  1.360200
  1.889170  1.518890 18.226700  4.050380 27.340099  1.181360 16.370300
 20.589399 25.314899

> fr<-function(a1,b1,a2,b2,p){
+
+ w<-((gamma(a1+n)))/((gamma(a1)*factorial(n))*(1+(e/b1)^a1)*(1+(b1/e)^n))
+ z<-((gamma(a2+n)))/((gamma(a2)*factorial(n))*(1+(e/b2)^a2)*(1+(b2/e)^n))
+
+ sum (log( (p*w)+ ((1-p)*z) ))
+
+ }
>
> mle((fr),
> start=list(a1=0.2,b1=0.1,a2=2,b2=4,p=0.33),method="BFGS",control=list(fnscale=-1))
Error in optim(start, f, method = method, hessian = TRUE, ...) :
non-finite finite-difference value 

And with the L-BFGS-B:

Error in optim(start, f, method = method, hessian = TRUE, ...) :
L-BFGS-B needs finite values of 'fn'

AND WITH NELDER-MEAD it doesn't work either (same error), but when I change
intial parameters (though I shouldn't, it gives something very weird
(negatives or sometimes huge values).

Call:
mle(minuslogl = (fr), start = list(a1 = 1, b1 = 1, a2 = 10, b2 = 10,
p = 0.9), method = "Nelder-Mead", control = list(fnscale = -1))

Coefficients:
a1         b1         a2         b2          p
-2.5035823  0.6236359 26.5562988 12.9604112 -0.1383767

Thanks

>
> Franco,
> Is it possible that you have failed to provide the negative of
> loglikelihood
> to "optim", since optim, by default, minimizes a function?  If you want to
> do this withput redefining the log-likelihood, you should set fnscale= -1
> (as hinted by Prof. Ripley).  This would turn the problem into a
> maximization problem.
>
> If this doesn't work, you should provide more details (a reproducible code
> with actual error message).
>
> Ravi.
>
> ----------------------------------------------------------------------------
> -------
>
>
> Assistant Professor, The Center on Aging and Health
>
> Division of Geriatric Medicine and Gerontology
>
> Johns Hopkins University
>
> Ph: (410) 502-2619
>
> Fax: (410) 614-9625
>
>
>
>
>
> ----------------------------------------------------------------------------
> --------
>
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of francogrex
> Sent: Friday, January 05, 2007 10:42 AM
> To: r-help at stat.math.ethz.ch
> Subject: Re: [R] maximum likelihood estimation of 5 parameters
>
>
>
> Franco,
> You can provide lower and upper bounds on the parameters if you use optim
> with method="L-BFGS-B".
> Hth, Ingmar
>
> Thanks, but when I use L-BFGS-B it tells me that there is an  error in
> optim(start, f, method = method, hessian = TRUE, ...) : L-BFGS-B needs
> finite values of 'fn'
>
> --
> View this message in context:
> http://www.nabble.com/maximum-likelihood-estimation-of-5-parameters-tf292536
> 4.html#a8180120
> Sent from the R help mailing list archive at Nabble.com.
>
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