On Oct 20, 2013, at 9:54 PM, Mark Leeds marklee...@gmail.com wrote:
Bill: I didn't look at the code but I think the OP means that during the
nlminb algorithm,
the variance covariance parameters hit values such that the covariance matrix
estimate becomes negative definite.
Yes, that is
my mistake. since nlminb is minimizing, it should be +Inf ( so that the
likelihood
is large ) as you pointed out. Note that this approach is a heuristic and
may not work all the time.
On Mon, Oct 21, 2013 at 3:01 AM, Steven LeBlanc ores...@gmail.com wrote:
On Oct 20, 2013, at
: Re: [R] nlminb() - how do I constrain the parameter vector
properly?
Message-ID:
cahz+bwyetvzjiccaugvxstgcqmf6enw0n3mmb7jfa3okykb...@mail.gmail.com
Content-Type: text/plain
my mistake. since nlminb is minimizing, it should be +Inf ( so that the
likelihood
is large ) as you pointed
To: William Dunlap
Subject: Re: [R] nlminb() - how do I constrain the parameter vector properly?
On Oct 20, 2013, at 6:41 PM, William Dunlap wdun...@tibco.com wrote:
Do you mean that your objective function (given to nlminb) parameterized
a positive definite matrix, P, as the elements
, October 20, 2013 9:35 PM
To: William Dunlap
Subject: Re: [R] nlminb() - how do I constrain the parameter vector
properly?
On Oct 20, 2013, at 6:41 PM, William Dunlap wdun...@tibco.com wrote:
Do you mean that your objective function (given to nlminb)
parameterized
a positive definite
() - how do I constrain the parameter vector properly?
On Oct 21, 2013, at 7:52 AM, William Dunlap wdun...@tibco.com wrote:
Try defining the function
theta345toSigma - function(theta) {
cholSigma - cbind(c(theta[3], 0), c(theta[4], theta[5]))
crossprod(cholSigma) # t
Software
wdunlap tibco.com
-Original Message-
From: Steven LeBlanc [mailto:ores...@gmail.com]
Sent: Monday, October 21, 2013 9:21 AM
To: William Dunlap
Subject: Re: [R] nlminb() - how do I constrain the parameter vector
properly?
On Oct 21, 2013, at 7:52 AM, William Dunlap wdun
Greets,
I'm trying to use nlminb() to estimate the parameters of a bivariate normal
sample and during one of the iterations it passes a parameter vector to the
likelihood function resulting in an invalid covariance matrix that causes
dmvnorm() to throw an error. Thus, it seems I need to
On Oct 20, 2013, at 3:01 PM, Steven LeBlanc wrote:
Greets,
I'm trying to use nlminb() to estimate the parameters of a bivariate normal
sample and during one of the iterations it passes a parameter vector to the
likelihood function resulting in an invalid covariance matrix that causes
-project.org
Subject: [R] nlminb() - how do I constrain the parameter vector properly?
Greets,
I'm trying to use nlminb() to estimate the parameters of a bivariate normal
sample and
during one of the iterations it passes a parameter vector to the likelihood
function
resulting in an invalid
Subject: [R] nlminb() - how do I constrain the parameter vector properly?
Greets,
I'm trying to use nlminb() to estimate the parameters of a bivariate
normal sample and
during one of the iterations it passes a parameter vector to the
likelihood function
resulting in an invalid covariance
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