Dear R users,
I am trying to find the mle that involves integration.
I am using the following code and get an error when I use the nlm function
d<-matrix(c(1,1,0,0,0,0,0,0,2,1,0,0,1,1,0,1,2,2,1,0),nrow=10,ncol=2)
h<-matrix(runif(20,0,1),10)
integ<-matrix(c(0),nrow=10, ncol=2)
ll<-function(p){
for (k in 1:2){
for(s in 1:10){
integrand<-function(x)
x^d[s,k]*exp(-x*gamma(1+1/p))^p*p*x^(p-1)*exp(-x*h[s,k])
integ[s,k]<-integrate(integrand,0,Inf)$value
}
}
lik<-colSums(integ)
-lik
}
initial<-c(1)
t<-nlm(ll,initial)
Error in nlm(ll, initial) : invalid function value in 'nlm' optimizer
Any suggestions will be greatly appreciated.
Thank you in advance
--
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likelihood function involving integration, error in nlm
3 messages · Berend Hasselman, stats12
On 19-10-2012, at 04:40, stats12 wrote:
Dear R users,
I am trying to find the mle that involves integration.
I am using the following code and get an error when I use the nlm function
d<-matrix(c(1,1,0,0,0,0,0,0,2,1,0,0,1,1,0,1,2,2,1,0),nrow=10,ncol=2)
h<-matrix(runif(20,0,1),10)
integ<-matrix(c(0),nrow=10, ncol=2)
ll<-function(p){
for (k in 1:2){
for(s in 1:10){
integrand<-function(x)
x^d[s,k]*exp(-x*gamma(1+1/p))^p*p*x^(p-1)*exp(-x*h[s,k])
integ[s,k]<-integrate(integrand,0,Inf)$value
}
}
lik<-colSums(integ)
-lik
}
initial<-c(1)
t<-nlm(ll,initial)
Error in nlm(ll, initial) : invalid function value in 'nlm' optimizer
Before the call of nlm you should insert ll(initial) to check. You'll see that your function returns a vector and not a scalar as it should. I guess that ll() should return sum(-lik) or better -sum(integ) Berend
Thanks for pointing that out. Made some modifications and it worked. -- View this message in context: http://r.789695.n4.nabble.com/likelihood-function-involving-integration-error-in-nlm-tp4646697p4646764.html Sent from the R help mailing list archive at Nabble.com.