Hello,
I am trying to compute MLE for non-Gaussian AR(1). The error term follows a
difference poisson distribution. This distribution has one parameter
(vector[2]).
So in total I want to estimate two parameters: the AR(1) paramter (vector[1])
and the distribution parameter.
My function is the negative loglikelihood derived from a mixing operator.
f=function(vector)
-sum(log((vector[1]*data$I)+((1-vector[1])*((exp(-2*vector[2]))*besselI(2*vector[2],data$PC)))))
nlm(f,p=c(-0.2354,0.00003269))
Error in nlm(f, p = c(-0.2354, 3.269e-05)) :
non-finite value supplied by 'nlm'
In addition: There were 50 or more warnings (use warnings() to see the first 50)
warnings()
Warning messages:
1: In besselI(2 * vector[2], data$PC) : value out of range in 'bessel_i'
# all warnings are the same
I would like to know what are the possible ways to avoid having non-finite
value.
Thank you very much.
H.
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