mle {stats4}R Documentation

Maximum Likelihood Estimation

Description

Estimate parameters by the method of maximum likelihood.

Usage

mle(minuslogl, start = formals(minuslogl), method = "BFGS",
    fixed = list(), ...)

Arguments

minuslogl Function to calculate negative log-likelihood.
start Named list. Initial values for optimizer.
method Optimization method to use. See optim.
fixed Named list. Parameter values to keep fixed during optimization.
... Further arguments to pass to optim.

Details

The optim optimizer is used to find the minimum of the negative log-likelihood. An approximate covariance matrix for the parameters is obtained by inverting the Hessian matrix at the optimum.

Value

An object of class "mle".

Note

Be careful to note that the argument is -log L (not -2 log L). It is for the user to ensure that the likelihood is correct, and that asymptotic likelihood inference is valid.

See Also

mle-class

Examples

x <- 0:10
y <- c(26, 17, 13, 12, 20, 5, 9, 8, 5, 4, 8)
ll <- function(ymax=15, xhalf=6)
    -sum(stats::dpois(y, lambda=ymax/(1+x/xhalf), log=TRUE))
(fit <- mle(ll))
mle(ll, fixed=list(xhalf=6))

summary(fit)
logLik(fit)
vcov(fit)
plot(profile(fit), absVal=FALSE)
confint(fit)

## use bounded optimization
## the lower bounds are really > 0, but we use >=0 to stress-test profiling
(fit1 <- mle(ll, method="L-BFGS-B", lower=c(0, 0)))
plot(profile(fit1), absVal=FALSE)

## a better parametrization:
ll2 <- function(lymax=log(15), lxhalf=log(6))
    -sum(stats::dpois(y, lambda=exp(lymax)/(1+x/exp(lxhalf)), log=TRUE))
(fit2 <- mle(ll2))
plot(profile(fit2), absVal=FALSE)
exp(confint(fit2))

[Package stats4 version 2.1.0 Index]