tong
2013-Jul-06 14:33 UTC
[R] Missing value or an infinity produced when evaluating the model
Dear all, I want to estimate a nlrq using normal copula.The model is <http://r.789695.n4.nabble.com/file/n4671010/%E6%97%A0%E6%A0%87%E9%A2%98.png> I want to estimate the delta in the above formula. The full codes I use are as following:> NormModel<-function(x, delta, mu, sigma, tau){+ z<-qnorm(pnorm(delta*qnorm(pnorm(x))+sqrt((1-delta*delta)*qnorm(tau))) + mu+sigma*z + }> fit<-nlrq(y~NormModel(x, delta, mu, sigma, tau=0.5), data=dailyvix, > tau=0.5,+ start=list(delta=-0.5, mu=0, sigma=0.1), + trace=TRUE) However, I get: 127.2531 : -0.5 0.0 0.1 Error in numericDeriv(form[[3]], names(ind), env) : Missing value or an infinity produced when evaluating the model In addition: Warning message: In sqrt(1 - delta * delta) : NaNs produced Error in nlrq.calc(m, ctrl, trace) : optim unable to find valid step size I think I do sth wrong with the "start=list". I try different initial values but fail to find proper ones. In addition, the coefficient delta is expected to range from (-1,1). how can I deal with the "In sqrt(1 - delta * delta) : NaNs produced"? thanks, Tong -- View this message in context: http://r.789695.n4.nabble.com/Missing-value-or-an-infinity-produced-when-evaluating-the-model-tp4671010.html Sent from the R help mailing list archive at Nabble.com.