Displaying 2 results from an estimated 2 matches for "loglikval".
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logikal
2009 Apr 10
1
Re MLE Issues
...#
> n<-length(combinedlrph1)
> j<-c(1,2,3,4,5,6,7,8,9,10)
Error in c(1, 2, 3, 4, 5, 6, 7, 8, 9, 10) :
unused argument(s) (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((for(i in 1:n)(log(sum(for(j
in 1:10)(((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlrph1-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))))
+ logLikVal
+ }
> rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c( 1, 1, 1, 1,
1), method...
2009 Apr 03
2
Geometric Brownian Motion Process with Jumps
...ed 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")...