maxLik: different estimations from different packages
Dear Alfonso
On 10 May 2013 12:51, <alfonso.carfora at uniparthenope.it> wrote:
we are computing maximum likelihood estimations using maxLik package and we
realized that the results of the estimation depend on the version of the
package installed
for example if we try to estimate this function with an old version of
maxLik under R 2.13.1 (32 bit version installed 2 years ago):
L<-function (param) {b0t<-param[1]
p1t<-param[2]
p2t<-param[3]
p3t<-param[4]
p4t<-param[5]
for(i in 17:T) {n[i,]<- b0t + p1t*a[i-1] + p2t*sum(a[(i-4):(i-1)]) +
p3t*(sum(a[(i-8):(i-1)])) + p4t*(sum(a[(i-16):(i-1)]))
m[i,]<-exp(n[i])/(1+exp(n[i]))
ll[i-16,]<-a[i]*log(m[i])+(1-a[i])*log(1-m[i]) }
sum(ll)}
b2<-maxLik(L, start=c(-2.8158,5,-1,0.3213,-0.3112))
we obtain this results:
summary(b2)
Maximum Likelihood estimation
Newton-Raphson maximisation, 16 iterations
Return code 2: successive function values within tolerance limit
Log-Likelihood: -38.11285
5 free parameters
Estimates:
Estimate Std. error t value Pr(> t)
[1,] -2.81578 0.43548 -6.4660 1.007e-10 ***
[2,] 50.50024 13.17046 3.8344 0.0001259 ***
[3,] -11.53344 3.31075 -3.4836 0.0004947 ***
[4,] 0.32130 0.42978 0.7476 0.4547096
[5,] -0.31121 0.23245 -1.3388 0.1806280
---
Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
--------------------------------------------
NB: a is a binary time series
if we try to estimate the same function using the last version of maxLik
under R.3.0 (64 bit latest version) the estimation do not converge and this
is the error message:
Iteration 15
Parameter:
[1] -2.8146429 51.3042554 -11.7373313 0.3245214 -0.3125767
Gradient:
[1] NaN NaN NaN NaN NaN
Errore in maxNRCompute(fn = logLikAttr, fnOrig = fn, gradOrig = grad,
hessOrig = hess, :
NA in gradient
What causes this?
It could be that the NaNs in the gradients are caused by rounding errors and/or approximation errors in the numerical (finite-difference) derivatives when using R.3.0 64 bit, because different hardware and different software versions (e.g. R, mathematical libraries, OS) could lead to different rounding errors. In this case, the specification of a function that returns analytical gradients could solve the problem. If this does not solve the problem and you cannot find out the reason for the NaNs in the analytical gradients yourself, please provide a reproducible example so that we could help you with this. Please note that you could also ask questions regarding the maxLik package via a forum at maxLik's R-Forge site: https://r-forge.r-project.org/projects/maxlik/ ... and please do not forget to cite maxLik in your publications :-) Best regards, Arne -- Arne Henningsen http://www.arne-henningsen.name