Re: [R] Re; Fitting a Beta distribution

From: Kjetil Halvorsen <kjetilbrinchmannhalvorsen_at_gmail.com>
Date: Wed, 16 Mar 2011 12:30:10 -0400

If yoy write out the likelihood equations for an independent sample size n from the beta(a,b) distribution:
L \propto \prod_i dbeta(y_i,a,b)
log(L) = constant + \sum_i dbeta(y_i,a,b,log=TRUE) log(L)= constant + \sum_i (a-1) log(y_i) + (b-i) log(1-y_i)

you see that your problem comes from trying to calculate log(0.0). So one pragmatic approach will be to replace your measured 0's by some epsilon and your measured 1's by (1-epsilon), and maybe do some sensitivity analysis for the choice of epsilon.

If you have exactly one measured y_i=0.0, and the rest in (0,1), then the log-likelihood
will be constant + (a-1)*(-\infty) + ordinary (finite) log-likelihood, suggesting that
maximization will choose a=1 to avoid the -\infty term. This indicates that choosing the epsilon
too small will give a huge bias in direction of estimating a=1.

Kjetil

On Wed, Mar 16, 2011 at 11:14 AM, Jim Silverton <jim.silverton_at_gmail.com> wrote:
> I want to fit some p-values to a beta distribution. But the problem is some
> of the values have 0s and 1's. I am getting an error if I use the MASS
> function to do this. Is there anyway to get around this?
>
> --
> Thanks,
> Jim.
>
>        [[alternative HTML version deleted]]
>
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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Wed 16 Mar 2011 - 16:44:50 GMT

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