From: Ingmar Visser <I.Visser_at_uva.nl>

Date: Fri 05 Jan 2007 - 13:57:45 GMT

Date: Fri 05 Jan 2007 - 13:57:45 GMT

Franco,

You can provide lower and upper bounds on the parameters if you use optim
with method="L-BFGS-B".

Hth, Ingmar

*> From: francogrex <francogrex@mail.com>
**> Date: Fri, 5 Jan 2007 04:54:50 -0800 (PST)
*

> To: <r-help@stat.math.ethz.ch>

*> Subject: [R] maximum likelihood estimation of 5 parameters
**>
**>
*

Hi Guys, it would be great if you could help me with a MLE problem in R.

I

> am trying to evaluate the maximum likelihood estimates of theta = (a1,

b1,

> a2, b2, P) which defines a mixture of a Poisson distribution and two

gamma

> prior distributions (where the Poisson means have a gamma

distribution,

> actually 2 gammas and P is the mixing factor). The likelihood

function for

> theta is L(theta) = Pi,j{P f(Nij; a1, b1, Eij) + (1 P) f(Nij;

a2, b2, Eij),}

*>
*

The maximum likelihood estimate of theta is the vector that maximizes

*> the
*

above equation (the values of N and E are given). The authors of the

> article

I read say that the maximization involves an iterative search in the

*> five
*

dimensional parameter space, where each iteration involves

> computing

log[L(theta)] and its first and second-order derivatives. In test

> runs it is

suggested that the maximization typically takes between 5 and 15

> iterations

from the starting point theta = (a1 = 0.2, b1 = 0.1, a2 = 2, b2 =

> 4, P =

1/3).

Now I have done maximization of a gamma-poisson mixture before

> (1 poisson, 1

gamma) successfully and I could determine correctly alpha (a)

> and beta(a).

But this one above is giving me ridiculously large unusable

> values (for

example P should not be above 1 and sometimes I get values of

> 500!) or even

negative values! I know the values I should be obtaining with my

> samples

shouldn't be far from the staring points. Is there a way to help me

> solve

this issue? Thanks.

-- View this message in context:Received on Sat Jan 06 01:05:22 2007

> http://www.nabble.com/maximum-likelihood-estimation-of-5-parameters-tf2925364.

> html#a8177473

Sent from the R help mailing list archive at

> Nabble.com.

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