Hi,
I have been using maxLik to do some MLE of Geometric Brownian Motion Process and
everything has been going fine, but know I have tried to do it with jumps. I
have create a vector of jumps and then added this into my log-likelihood
equation, know I am getting a message:
NA in the initial gradient
My codes is hear
#
n<-length(combinedlr)
j<-c(1,2,3,4,5,6,7,8,9,10)
gbmploglik<-function(param){
mu<-param[1]
sigma<-param[2]
lamda<-param[3]
nu<-param[4]
gama<-param[5]
logLikVal<- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in
1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlr-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))
logLikVal
}
rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(0,1,1,1,1),
method = "Newton-Raphson")
summary(rescbj)
#
I am also was wondering if anyone know if there was a package that dealt with
Geometric Brownian Motion Process augmented with jumps. Then I could just put
that into my code and might resolve the issue.
Any suggest as to how to resolved this issue, are greatly apprecaited.
Yours truly,
JP
Hi,
The error message is clear in that the gradient cannot be evaluated at your
starting value for the parameters.
Is your likelihood a smooth function of parameters? If so, then provide a
different starting value. If it is not smooth, then you may have to use a
method that does not depend on gradients, such as Nelder-Mead.
Can you provide a reproducible example, which would help us dig deeper into
your problem?
Ravi.
----------------------------------------------------------------------------
-------
Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvaradhan at jhmi.edu
Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
----------------------------------------------------------------------------
--------
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
Behalf Of John-Paul Taylor
Sent: Friday, April 03, 2009 8:30 AM
To: r-help at r-project.org
Subject: Re: [R] Geometric Brownian Motion Process with Jumps
Hi,
I have been using maxLik to do some MLE of Geometric Brownian Motion Process
and everything has been going fine, but know I have tried to do it with
jumps. I have create a vector of jumps and then added this into my
log-likelihood equation, know I am getting a message:
NA in the initial gradient
My codes is hear
#
n<-length(combinedlr)
j<-c(1,2,3,4,5,6,7,8,9,10)
gbmploglik<-function(param){
mu<-param[1]
sigma<-param[2]
lamda<-param[3]
nu<-param[4]
gama<-param[5]
logLikVal<- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in
1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlr-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))
logLikVal
}
rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(0,1,1,1,1),
method = "Newton-Raphson")
summary(rescbj)
#
I am also was wondering if anyone know if there was a package that dealt
with Geometric Brownian Motion Process augmented with jumps. Then I could
just put that into my code and might resolve the issue.
Any suggest as to how to resolved this issue, are greatly apprecaited.
Yours truly,
JP
______________________________________________
R-help at r-project.org mailing list
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.
Hi,
The error message is clear in that the gradient cannot be evaluated at your
starting value for the parameters.
Is your likelihood a smooth function of parameters? If so, then provide a
different starting value. If it is not smooth, then you may have to use a
method that does not depend on gradients, such as Nelder-Mead.
Can you provide a reproducible example, which would help us dig deeper into
your problem?
Ravi.
----------------------------------------------------------------------------
-------
Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvaradhan at jhmi.edu
Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
----------------------------------------------------------------------------
--------
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
Behalf Of John-Paul Taylor
Sent: Friday, April 03, 2009 8:30 AM
To: r-help at r-project.org
Subject: Re: [R] Geometric Brownian Motion Process with Jumps
Hi,
I have been using maxLik to do some MLE of Geometric Brownian Motion Process
and everything has been going fine, but know I have tried to do it with
jumps. I have create a vector of jumps and then added this into my
log-likelihood equation, know I am getting a message:
NA in the initial gradient
My codes is hear
#
n<-length(combinedlr)
j<-c(1,2,3,4,5,6,7,8,9,10)
gbmploglik<-function(param){
mu<-param[1]
sigma<-param[2]
lamda<-param[3]
nu<-param[4]
gama<-param[5]
logLikVal<- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in
1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlr-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))
logLikVal
}
rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(0,1,1,1,1),
method = "Newton-Raphson")
summary(rescbj)
#
I am also was wondering if anyone know if there was a package that dealt
with Geometric Brownian Motion Process augmented with jumps. Then I could
just put that into my code and might resolve the issue.
Any suggest as to how to resolved this issue, are greatly apprecaited.
Yours truly,
JP
______________________________________________
R-help at r-project.org mailing list
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.