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Trying to write a linear regression using MLE and optim()

2 messages · Ajay Shah, Gabor Grothendieck

Ajay Shah
# 
I wrote this:

# Setup problem
x <- runif(100)
y <- 2 + 3*x + rnorm(100)
X <- cbind(1, x)

# True OLS --
lm(y ~ x)

# OLS likelihood function --
ols.lf <- function(theta, K, y, X) {
  beta <- theta[1:K]
  sigma <- exp(theta[K+1])
  e <- (y - X%*%beta)/sigma
  logl <- sum(log(dnorm(e)))
  return(logl)
}

optim(c(2,3,0), ols.lf, gr=NULL,
      method="BFGS", lower=-Inf, upper=Inf,
      control=list(trace=2, fnscale=-1),
      # Now for the "..." stuff
      K, y, X)


I get:

Error in fn(par, ...) : argument "X" is missing, with no default
In addition: Warning message:
numerical expression has 100 elements: only the first used in: 1:K 
Execution halted

If someone can show me the way, it'll be most appreciated. :-)
Gabor Grothendieck
#
On 5/30/05, Ajay Shah <ajayshah at mayin.org> wrote:
The last line should be:

K=K, y=y, X=X)

and also you have to set K.