R help - Jun 2006 - Why different results with different initial values for MLE (optim)!

Hi, All:

    I used optim() to minimise likelihood function for fitting the data to a
partiuclar distribution. The function is converged and the value of
log-likelihood is different when I change the intial value.
    
    Whether it means the program does not work well?

   Thanks!

   Xin
	[[alternative HTML version deleted]]

It is difficult to say much since you haven't described your likelihood
function.  However, there are some general things that you can do: (1) make
sure that you are "maximizing", by defining your objective function as
the
negative of likelihood, (2) use log-likelihood rather than the likelihood
function, (3) look at the value of the objective function at different
converged points to see whether you truly have multiple local maxima or if
the likelihood is very flat near the optimum, (4) look at convergence
criterion from the output to see whether you have true convergence, and (5)
try different optimization techniques in "optim" or try
"fitdistr" function
in MASS library.

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 stat.math.ethz.ch [mailto:r-help-
> bounces at stat.math.ethz.ch] On Behalf Of Xin
> Sent: Thursday, June 22, 2006 12:10 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] Why different results with different initial values for
> MLE(optim)!
> 
> Hi, All:
> 
>     I used optim() to minimise likelihood function for fitting the data to
> a partiuclar distribution. The function is converged and the value of log-
> likelihood is different when I change the intial value.
> 
>     Whether it means the program does not work well?
> 
>    Thanks!
> 
>    Xin
> 	[[alternative HTML version deleted]]
> 
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