Yep, I know. Well, maybe I didn't, but there are also issues with
propagation of fixedness in constrained optimization.
Revising mle() had neen on my todo list for way too long. The bbmle package
handles this better, I believe.
-pd
> On 24 Apr 2019, at 16:51 , Stefano de Pretis <stefano.depretis at
iit.it> wrote:
>
> Dear R developers,
>
> I noticed a bug in the stats4 package, specifically in the confint method
applied to ?mle? objects.
> In particular, when some ?fixed? parameters define the log likelihood,
these parameters are stored within the mle object but they are not used by the
?confint" method, which retrieves their value from the global environment
(whenever they still exist).
>
> Sample code:
>
>> ## Avoid printing to unwarranted accuracy
>> od <- options(digits = 5)
>> x <- 0:10
>> y <- c(26, 17, 13, 12, 20, 5, 9, 8, 5, 4, 8)
>>
>> ## Easy one-dimensional MLE:
>> nLL <- function(lambda, y) -sum(stats::dpois(y, lambda, log = TRUE))
>> fit0 <- mle(nLL, start = list(lambda = 5), fixed=list(y=y), nobs =
NROW(y))
>> confint(fit0)
> Profiling...
> 2.5 % 97.5 %
> 9.6524 13.6716
>> rm(y)
>> confint(fit0)
> Profiling...
> Error in eval(expr, p) : object 'y' not found
>
> In this sample code, I?m showing that after the removal of y from the
global environment the method ?confint? is not able anymore to act on the object
?fit0?.
>
> This retrieval from the global environment is actually dangerous because
it?s silent and in case the user changes the value of ?y? for another purpose
the method ?confint? will return a wrong evaluation of the confidence interval
without throwing any warning.
>
> I suggest to use the fixed values that are already contained within the mle
object:
>
>> fit0 at fullcoef[grep('y', names(fit0 at fullcoef))]
> y1 y2 y3 y4 y5 y6 y7 y8 y9 y10 y11
> 26 17 13 12 20 5 9 8 5 4 8
>
> Additionally, the method ?coef? returns both the coefficient and the fixed
parameters - while should return only the parameters - , while the ?fullcoef?
method is not implemented - while present in the documentation of
'mle-class?.
>
> Best,
> Stefano
>
> Center for Genomic Science of IIT at SEMM
>
> Stefano de Pretis, PhD
> Postdoctoral fellow
> stefano.depretis at iit.it <mailto:stefano.depretis at iit.it>
> Via Adamello 16, 20139 Milan, Italy
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>
>
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--
Peter Dalgaard, Professor,
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