[R] problem with optim and integrate

From: kathie <kathryn.lord2000_at_gmail.com>
Date: Wed, 19 Mar 2008 14:01:54 -0700 (PDT)

Dear all,

I want to min "integrate( (p1*dnorm+p2*dnorm+p3*dnorm)^(1.3))" for p, mu, and sigma.

So, I have to estimate 8 parameters(p3=1-p1-p2).

Sometimes I got some results, but it was bad, sometimes, I got this warning-"Error in integrate(numint, lower = -Inf, upper = Inf) : non-finite function value."

My questions are

  1. How could I fix this error? Actually, I can not understand why it is not finite function. Anyway, I tried to divide into several intervals and sum up, but I failed.
  2. how could I improve results?

My code is

alpha=1.3; theta0=c(0.5,0,sqrt(10),0.25,-.3,sqrt(0.05),.3,sqrt(0.05))

fc = function(theta){

  numint = function(z)


+(1-(theta[1]+theta[4]))*dnorm(z,mean=theta[7],sd=theta[8]))^alpha   }

  inte = integrate(numint,lower=-Inf, upper=Inf)$value   inte

optim(theta0, fc, method="L-BFGS-B",hessian=T, lower=c(rep(c(0,-Inf,0),2),-Inf,0),upper=c(rep(c(1,Inf,4),2),Inf,4))

Thank you in advance.

Kathryn lord

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Received on Wed 19 Mar 2008 - 21:49:11 GMT

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