Mathieu Ribatet <mathieu.ribatet <at> epfl.ch> writes: > > Dear list, > > I'm currently writing a C code to compute the (composite) likelihood - > well this is done but not really robust. The C code is wrapped in an R > one which call the optimizer routine - optim or nlm. However, the > fitting procedure is far from being robust as the parameter space > depends on the parameter - I have a covariance matrix that should be a > valid one for example. One reasonably straightforward hack to deal with this is to add a penalty that is (e.g.) a quadratic function of the distance from the feasible region, if that is reasonably straightforward to compute -- that way your function will get gently pushed back toward the feasible region.
Ben Bolker ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
