[R] MLE where loglikelihood function is a function of numerical solutions

From: Kristian Lind <kristian.langgaard.lind_at_gmail.com>
Date: Sun, 10 Apr 2011 10:35:41 +0200


Hi there,

I'm trying to solve a ML problem where the likelihood function is a function of two numerical procedures and I'm having some problems figuring out how to do this.

The log-likelihood function is of the form L(c,psi) = 1/T sum [log (f(c, psi)) - log(g(c,psi))], where c is a 2xT matrix of data and psi is the parameter vector. f(c, psi) is the transition density which can be approximated. The problem is that in order to approximate this we need to first numerically solve 3 ODEs. Second, numerically solve 2 non-linear equations in two unknowns wrt the data. The g(c,psi) function is known, but dependent on the numerical solutions.
I have solved the ODEs using the deSolve package and the 2 non-linear equations using the BB package, but the results are dependent on the parameters.

How can I write a program that will maximise this log-likelihood function, taking into account that the numerical procedures needs to be updated for each iteration in the maximization procedure?

Any help will be much appreciated.

Kristian

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