I would like to use the mle2 function to produce mles for weibull shape and scale parameters. I have written the following code, but got the error:
So which component is NULL and I should change to numeric? Is there any other problems with my code to obtain the mles?
x2<- rweibull(n, shape = 1, scale = 1.5)
library(bbmle)
loglik2 <- function(theta, x){
shape<- theta[1]
scale<- theta[2]
K<- length(theta)
n<- length(x2)
out<- rep(0,K)
for(k in 1:K){
out[k] <- sum(dweibull(x2, shape, scale, log=TRUE))
}
return(out)
}
theta.start<- c(1, 1.4)
(mod <- mle2(loglik2,start=list(theta.start),data=list(x2)))
Error in validObject(.Object) :
invalid class “mle2” object: invalid object for slot "fullcoef" in class "mle2": got class "NULL", should be or extend class "numeric"
Edit following Ben Bolkers comments below:
You can pass the parameters individually rather than as a vector or
you can pass a named vector as input instead: see the vecpar argument in the docs (and use parnames(nllfun) <- ... on your negative log-likelihood function).
Passing individual parameters:
# some example data
library(bbmle)
set.seed(1)
n = 1000
x2 = rweibull(n, shape = 1, scale = 1.5)
Rewrite the likelihood function to return the minus LL
loglik2 = function(shape, scale, x)
-sum(dweibull(x, shape=shape, scale=scale, log=TRUE))
Estimate: naming the start parameters (also set lower parameters limits to avoid warnings)
mle2(loglik2, start=list(shape=1, scale=1),
method="L-BFGS-B",lower=list(shape=0, scale=0),
data=list(x=x2))
#Coefficients:
# shape scale
#1.007049 1.485067
# you can also use the formula notation
mle2(x~dweibull(shape=shape, scale=scale),
start=list(shape=1, scale=1),
method="L-BFGS-B",lower=list(shape=0, scale=0),
data=list(x=x2))
Passing a named vector for the parameters:
Also note in this example that the parameters are forced to be greater than zero by using a log link. From Ben's comment "I would probably recommend a log-link rather than box constraints" -- this is instead of using the lower optimisation parameter in the above example.
loglik2 = function(theta, x)
-sum(dweibull(x, shape=exp(theta[1]), scale=exp(theta[2]), log=TRUE))
# set the parameter names & set `vecpar` to TRUE
parnames(loglik2) = c("shape", "scale")
m = mle2(loglik2,
start=list(shape=0, scale=0),
data=list(x=x2), vecpar=TRUE)
exp(coef(m)) # exponentiate to get coefficients
# or the formula notation
mle2(x~dweibull(shape=exp(logshape),scale=exp(logscale)),
start=list(logshape=0, logscale=0),
data=list(x=x2))
A couple of comments on your code; from ?bblme help page:
"Note that the minuslogl function should return the negative log-likelihood" which yours didn't, and the start parameters should be a named list.
Related
I am wondering what is wrong with my following R code (R markdown)? I keep getting an error message for the last line that says "Error in h(x.n, df = N - 2) : unused argument (df = N - 2)". I am very confused because my TA looked at my code and told me that it should run perfectly.
For context, this is the problem I am working on:
library(MASS)
library(tidyverse)
library(hypergeo)
set.seed(1)
rm(list=ls())
N=7
Nsim=10000
rho=0
Sigma=matrix(c(1,rho,rho,1),2,2)
Sigma
mu=c(0,0)
r_vec=matrix(NaN,nrow=1,ncol=Nsim)
#have function mvrnorm-->simulate from multivariate normal distribution. N=7 Correlation matrix sigma. before X was fixed but now is random and formal dependence from Y that I can control. Compute rho hat and see if on average it gives me correct rho. Check how serious bias is when the expected value of rho hat isn't equal to rho. I want a feeling about whether this is something I should worry about or not
for (i in 1:Nsim){
data=mvrnorm(N, mu, Sigma)
r_vec[i]=cor(data[,1],data[,2])
}
mean(r_vec)
update.packages("deSolve")
x.n=seq(-1,1,0.1)
sim_rho0<-function(Nsim,N,rho){
rho=rho
mu=c(0,0)
Sigma=matrix(c(1,rho,rho,1),nrow=2)
r_vec=matrix(NaN,nrow=Nsim)
for (i in 1:Nsim){
data=mvrnorm(N, mu, Sigma)
r_vec[i]=cor(data[,1],data[,2])
}
# here we compute t, which should have a t_{N-2} distribution. This is different here and trying to reconstruct the .Not a mathematical proof. Might be a mistake*****
#range of values and plotting density for each one
h<- function(N,rho,x.n){
rho=rho
a <- ((N-2)*(gamma(N-1))*(1-rho^2)^(N-1)/2*(1-x.n^2)^(N-4)/2)/((2*pi)*(sqrt(N-1/2))((1-x.n*rho)^(N-3/2)))
b <- hypergeo(1/2, 1/2, (2*N-1/2), ((x.n*rho)+1)/2)
h2 = a*b
return(h2)
}
t=r_vec*sqrt(N-2)/(1-r_vec^2)
x.n=seq(-1,1,0.1)
y.n= h(N=10, rho=0.8, x.n=x.n)
df=tibble(X=t)
df2=tibble(x=x.n,y=y.n)
ggplot()+geom_histogram(data=df, aes(x=X,y=..density..),binwidth=0.2,
color="black", fill="white")+ geom_line(data = df2, aes(x = x, y = y),
color = "red")+xlim(-5,5)
}
rho=0.8
Nsim=3000
N=10
sim_rho0(Nsim,N,rho)
You've defined that the function h has the arguments N, rho and x.n. Then you try to call it with the argument df which h does not have, therefore you get the error. You need to call h with the correct arguments (i.e. also don't leave out N and rho, and if the value x.n should be passed to the function argument x.n, you need to specify it (don't use a positional argument). I also recommend to follow a style guide, e.g. https://style.tidyverse.org/
I was trying to creating a loss function below.
Where tts is the total sum of squares and x is values 1-100 and t is a given y hat. W0+W1 is supposedly par(0,1) but I'm having issues with getting the function correct but I'm not sure why.
x
t
loss <- function(par){
th<-w0+w1*x
tts<-(t-th)^2
return(sum(tts))
}
```{r, error = TRUE}
results <- optim(par = c(0,1), fn = loss, method = 'BFGS')
results$par
The first argument to any function that you want to optimize with optim must be the vector of parameters that optim will search over. You named this vector par but then you didn't use par anywhere in your function. In my example below, I'm going to call the vector of parameters params so as not to mix it up with the first argument to optim and you'll see it gets used (ie, the loss function uses params[1], etc.):
# define loss function
loss <- function(params, x, y) {
yhat <- params[1] + params[2]*x
tss <- (y - yhat)^2
return(sum(tss))
}
# generate fake data
n <- 100
x <- 1:n
w0_true <- 2
w1_true <- 3
y <- w0_true + w1_true*x + rnorm(n)
# find w0_hat and w1_hat with optim
optim(par=c(0,1), fn=loss, x=x, y=y)
# check with lm
summary(lm(y ~ x))
I want to fit a curve,the model is as the following picture.
In this model, there are four parameters(alpha,beta,gamma and Rd)to optimize,now the data of I and P(I) is already,and the function DEoptim() from DEoptim package in R is used,this is my code.
library(DEoptim)
I <-c(1.200,49.600,99.200,148.500,199.300,399.375,598.200,799.500,1099.600,1398.100,1698.600,1844.333)
pn <-c(-0.0495485,0.4166522,0.8954644,1.4592700,1.9931400,2.9114072,3.0808183,3.2427603,3.3916783,3.6078660,4.1020850,4.0947913)
fn.piao <- function(alpha,beta,gamma,Rd){
pn <- (alpha-alpha*beta*par)/(1+gamma*par)-Rd
}
lower <- c(0,0,0,0)
upper <- c(1,1,1,100)
DE.control <- list(itermax=500,NP=100)
DE.piao <- DEoptim(lower,upper,fn=fn.piao,par=par,control=DE.control)
but R shows error as follows
Error in DEoptim(lower, upper, fn = fn.piao, par = par, control =
DE.control) : object is not a matrix
In the paper (K.M. Mullen2011), it says ith element of lower and upper applies to the ith parameter. so i set the vector lowerand upper to represent alpha, beta, gamma and Rd.i want to ask where is my fault and how to adjust?
I am trying to optmize a function in R
The function is the Likelihood function of negative binominal when estimating only mu parameter. This should not be a problem since the function clearly has just one point of maximum. But, I am not being able to reach the desirable result.
The function to be optmized is:
EMV <- function(data, par) {
Mi <- par
Phi <- 2
N <- NROW(data)
Resultado <- log(Mi/(Mi + Phi))*sum(data) + N*Phi*log(Phi/(Mi + Phi))
return(Resultado)
}
Data is a vector of negative binomial variables with parameters 2 and 2
data <- rnegbin(10000, mu = 2, theta = 2)
When I plot the function having mu as variable with the following code:
x <- seq(0.1, 100, 0.02)
z <- EMV(data,0.1)
for (aux in x) {z <- rbind(z, EMV(data,aux))}
z <- z[2:NROW(z)]
plot(x,z)
I get the following curve:
And the maximum value of z is close to parameter value --> 2
x[which.max(z)]
But the optimization is not working with BFGS
Error in optim(par = theta, fn = EMV, data = data, method = "BFGS") :
non-finite finite-difference value [1]
And is not going to right value using SANN, for example:
$par
[1] 5.19767e-05
$value
[1] -211981.8
$counts
function gradient
10000 NA
$convergence
[1] 0
$message
NULL
The questions are:
What am I doing wrong?
Is there a way to tell optim that the param should be bigger than 0?
Is there a way to tell optim that I want to maximize the function? (I am afraid the optim is trying to minimize and is going to a very small value where function returns smallest values)
Minimization or Maximization?
Although ?optim says it can do maximization, but that is in a bracket, so minimization is default:
fn: A function to be minimized (or maximized) ...
Thus, if we want to maximize an objective function, we need to multiply an -1 to it, and then minimize it. This is quite a common situation. In statistics we often want to find maximum log likelihood, so to use optim(), we have no choice but to minimize the negative log likelihood.
Which method to use?
If we only do 1D minimization, we should use method "Brent". This method allows us to specify a lower bound and an upper bound of search region. Searching will start from one bound, and search toward the other, until it hit the minimum, or it reach the boundary. Such specification can help you to constrain your parameters. For example, you don't want mu to be smaller than 0, then just set lower = 0.
When we move to 2D or higher dimension, we should resort to "BFGS". In this case, if we want to constrain one of our parameters, say a, to be positive, we need to take log transform log_a = log(a), and reparameterize our objective function using log_a. Now, log_a is free of constraint. The same goes when we want constrain multiple parameters to be positive.
How to change your code?
EMV <- function(data, par) {
Mi <- par
Phi <- 2
N <- NROW(data)
Resultado <- log(Mi/(Mi + Phi))*sum(data) + N*Phi*log(Phi/(Mi + Phi))
return(-1 * Resultado)
}
optim(par = theta, fn = EMV, data = data, method = "Brent", lower = 0, upper = 1E5)
The help file for optim says: "By default optim performs minimization, but it will maximize if control$fnscale is negative." So if you either multiply your function output by -1 or change the control object input, you should get the right answer.
I am doing some Extreme Values analysis. I don't want to use the fevd package for a variety of reasons (the first I want to be able to tweak some things that I cannot do otherwise). I wrote my own code. It is mostly very simple, and I thought I had solved everything. But for some parameter combinations, the Hessian coming out of my log-likelihood analysis (based on optim ) will not be correct.
Going over one step at the time. My code - or selected part of it - looks like this:
# routines for non stationary
Log_lik_GEV <- function(dataIN,scaleIN,shapeIN,locationIN){
# simply calculate the negative log likelihood value for a set of X and parameters, for the GPD
#xi, mu, sigma - xi is the shape parameter, mu the location parameter, and sigma is the scale parameter.
# shape = xi
# location = mu
# scale = beta
library(fExtremes)
#dgev Density of the GEV Distribution, dgev(x, xi = 1, mu = 0, sigma = 1)
LLvalues <- dgev(dataIN, xi = shapeIN, mu = locationIN, beta = scaleIN)
NLL <- -sum(log(LLvalues[is.finite(LLvalues)]))
return(NLL)
}
function_MLE <- function(par , dataIN){
scoreLL <- 0
shape_param <- par[1]
scale_param <- par[2]
location_param <- par[3]
scoreLL <- Log_lik_GEV(dataIN, scale_param, shape_param, location_param)
if (abs(shape_param) > 0.3) scoreLL <- scoreLL*10000000
if ((scale_param) <= 0) {
scale_param <- abs(scale_param)
par[2] <- abs(scale_param)
scoreLL <- scoreLL*1000000000
}
sum(scoreLL)
}
kernel_estimation <- function(dati_AM, shape_o, scale_o, location_o) {
paramOUT <- optim(par = c(shape_o, scale_o, location_o), fn = function_MLE, dataIN = dati_AM, control = list(maxit = 3000, reltol = 0.00000001), hessian = TRUE)
# calculation std errors
covmat <- solve(paramOUT$hessian)
stde <- sqrt(diag(covmat))
print(covmat)
print('')
result <- list(shape_gev =paramOUT$par[1], scale_gev = paramOUT$par[2],location_gev =paramOUT$par[3], var_covar = covmat)
return(result)
}
Everything works great, in some cases. If I run my routines and the fevd routines, I get exactly the same results. In some cases (in my specific case when shape=-0.29 so strongly negative/weibull), my routine will give negative variances and funky hessians. It is not always wrong, but some parameter combinations are clearly not giving valid hessian (Note: the parameters are still estimated correctly, meaning are identical to the fevd results, but the covariance matrix is completely off).
I found this post that compared the hessian from two procedures, and indeed optim seems to be flaky. However, if I simply substitute maxLik in my routine, it just doesn't converge at all (even in those cases when the convergence was happening).
paramOUT = maxLik(function_MLE, start =c(shape_o, scale_o, location_o),
dataIN=dati_AM, method ='NR' )
I tried to give different initial values - even the correct ones - but it just doesn't converge.
I am not supplying data because I think that the optim routine is used correctly in my example. Simply, the numerical results are not stable for some parameter combination. My question is:
1) Am I missing something in the way I use maxLik?
2) Are there other optimization routines, besides maxLik, from which I can extract the hessian?
thanks