[R] nlminb() - how do I constrain the parameter vector properly?
oreslag at gmail.com
Mon Oct 21 00:01:44 CEST 2013
I'm trying to use nlminb() to estimate the parameters of a bivariate normal sample and during one of the iterations it passes a parameter vector to the likelihood function resulting in an invalid covariance matrix that causes dmvnorm() to throw an error. Thus, it seems I need to somehow communicate to nlminb() that the final three parameters in my parameter vector are used to construct a positive semi-definite matrix, but I can't see how to achieve this using the constraint mechanism provided. Additional details are provided in the code below.
Generate the data set I'm using:
complete<-sample.deleted[!(is.na(sample.deleted[,1]) | is.na(sample.deleted[,2])),]
Try to estimate the parameters of the data set less the deleted values:
Escape and it stops at Iteration 9 on my machine.
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