[R] maximizing a likelihood function containing an integral

From: Sam Wong <qxsr_at_yahoo.com>
Date: Fri 08 Sep 2006 - 23:34:58 GMT

I am trying to maximize a likelihood function which contains an integral. The integral contains the unknown parameter as well. I am trying to use the following code to do the maximization:

ll<-function(b.vec){

```       b0<-b.vec[1]
b1<-b.vec[2]
b2<-b.vec[3]
p<-1/(1+exp(-b0-b1*z1-b2*x2))

lik1<-p^y*(1-p)^(1-y)*exp(-(z1^2+x2^2-2*rho*z1*x2)/(2*(1-rho^2)))
log.lik1<-sum(log(lik1[1:n1]))
log.lik2<-0
for(j in (n1+1):n){
integrand<-function(u,B0,B1,B2){

```

exp(-y[j]*(B0+B1*u+B2*x2[j])-(u-rho*x2[j])^2/2)/(1+exp(B0+B1*u+B2*x2[j]))
}

log.lik2<-log.lik2+log(integrate(integrand,lower=1,upper=Inf,B0=b0,B1=b1,B2=b2)\$integral)

}

log.lik<-log.lik1+log.lik2
}

start<-c(0,0,0)

nlminb(start,ll)

Suggestions are welcome.

Thanks

Ming Ji

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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 Sat Sep 09 09:39:33 2006

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