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ucr2
2007 May 24
3
Problem with numerical integration and optimization with BFGS
...: when I try to maximize the log-likelihood
function using "optim" with method "BFGS", I get the following error
message (about the second integral):
> out <- optim(alpha.start, LLK, gr=NULL, method="BFGS", y=urate$y)
Error in integrate(f3, lower = -Inf, upper = upr2) :
the integral is probably divergent
Since I know that all the three integrals are convergent, I do not
understand why I am getting this error message. My first question: can
someone explain what mistake I am making?
What is even more intriguing is that when I use the default method
(Nel...