[R] MLE Estimation of Gamma Distribution Parameters for data with 'zeros'
Peter Dalgaard
p.dalgaard at biostat.ku.dk
Wed Jun 11 22:40:58 CEST 2008
Fox, Aaron wrote:
> Greetings, all
>
> I am having difficulty getting the fitdistr() function to return without
> an error on my data. Specifically, what I'm trying to do is get a
> parameter estimation for fracture intensity data in a well / borehole.
> Lower bound is 0 (no fractures in the selected data interval), and upper
> bound is ~ 10 - 50, depending on what scale you are conducting the
> analysis on.
>
> I read in the data from a text file, convert it to numerics, and then
> calculate initial estimates of the shape and scale parameters for the
> gamma distribution from moments. I then feed this back into the
> fitdistr() function.
>
> R code (to this point):
> ########################################
> data.raw=c(readLines("FSM_C_9m_ENE.inp"))
> data.num <- as.numeric(data.raw)
> data.num
> library(MASS)
> shape.mom = ((mean(data.num))/ (sd(data.num))^2
> shape.mom
> med.data = mean(data.num)
> sd.data = sd(data.num)
> med.data
> sd.data
> shape.mom = (med.data/sd.data)^2
> shape.mom
> scale.mom = (sd.data^2)/med.data
> scale.mom
> fitdistr(data.num,"gamma",list(shape=shape.mom,
> scale=scale.mom),lower=0)
>
> fitdistr() returns the following error:
>
> " Error in optim(x = c(0.402707037, 0.403483333, 0.404383704,
> 2.432626667, :
> L-BFGS-B needs finite values of 'fn'"
>
> Next thing I tried was to manually specify the negative log-likelihood
> function and pass it straight to mle() (the method specified in Ricci's
> tutorial on fitting distributions with R). Basically, I got the same
> result as using fitdistr().
>
> Finally I tried using some R code I found from someone with a similar
> problem back in 2003 from the archives of this mailing list:
>
> R code
> ########################################
> gamma.param1 <- shape.mom
> gamma.param2 <- scale.mom
> log.gamma.param1 <- log(gamma.param1)
> log.gamma.param2 <- log(gamma.param2)
>
>
> gammaLoglik <-
> function(params,
> negative=TRUE){
> lglk <- sum(dgamma(data, shape=exp(params[1]), scale=exp(params[2]),
> log=TRUE))
> if(negative)
> return(-lglk)
> else
> return(lglk)
> }
>
> optim.list <- optim(c(log.gamma.param1, log.gamma.param2), gammaLoglik)
> gamma.param1 <- exp(optim.list$par[1])
> gamma.param2 <- exp(optim.list$par[2])
> #########################################
>
> If I test this function using my sample data and the estimates of shape
> and scale derived from the method of moments, gammaLogLike returns as
> INF. I suspect the problem is that the zeros in the data are causing the
> optim solver problems when it attempts to minimize the negative
> log-likelihood function.
>
> Can anyone suggest some advice on a work-around? I have seen
> suggestions online that a 'censoring' algorithm can allow one to use MLE
> methods to estimate the gamma distribution for data with zero values
> (Wilkes, 1990, Journal of Climate). I have not, however, found R code to
> implement this, and, frankly, am not smart enough to do it myself... :-)
>
> Any suggestions? Has anyone else run up against this and written code to
> solve the problem?
>
It's fairly easy. You decide that the zeros really represent values less
than "delta" (e.g. 0.5 if your data are integers), then replace
dgamma(0,....) with pgamma(delta,...) in the likelihood. (And, BTW, the
problem is not that the optimizers get in trouble, but rather that the
log-likelihood *is* +/- Inf if there are zeros in data unless the shape
parameter is exactly 1 -- the x^(a-1) factor in the gamma density causes
this).
--
O__ ---- Peter Dalgaard Øster Farimagsgade 5, Entr.B
c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K
(*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
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