Manual Maximum-Likelihood Estimation of an AR-Model in R

问题

I am trying to estimate a simple AR(1) model in R of the form y[t] = alpha + beta * y[t-1] + u[t] with u[t] being normally distributed with mean zero and standard deviation sigma.

I have simulated an AR(1) model with alpha = 10 and beta = 0.1:

library(stats)
data<-arima.sim(n=1000,list(ar=0.1),mean=10)

First check: OLS yields the following results:

lm(data~c(NA,data[1:length(data)-1]))

Call:
lm(formula = data ~ c(NA, data[1:length(data) - 1]))

Coefficients:
                (Intercept)  c(NA, data[1:length(data) - 1])  
                   10.02253                          0.09669

But my goal is to estimate the coefficients with ML. My negative log-likelihood function is:

logl<-function(sigma,alpha,beta){
-sum(log((1/(sqrt(2*pi)*sigma)) * exp(-((data-alpha-beta*c(NA,data[1:length(data)-1]))^2)/(2*sigma^2))))
}

that is, the sum of all log-single observation normal distributions, that are transformed by u[t] = y[t] - alpha - beta*y[t-1]. The lag has been created (just like in the OLS estimation above) by c(NA,data[1:length(data)-1]).

When I try to put it at work I get the following error:

library(stats4)
mle(logl,start=list(sigma=1,alpha=5,beta=0.05),method="L-BFGS-B")
Error in optim(start, f, method = method, hessian = TRUE, ...) : 
L-BFGS-B needs finite values of 'fn'

My log-likelihood function must be correct, when I try to estimate a linear model of the form y[t] = alpha + beta * x[t] + u[t] it works perfectly.

I just do not see how my initial values lead to a non-finite result? Trying any other initial values does not solve the problem.

Any help is highly appreciated!

回答1:

This works for me -- basically what you've done but leaving out the first element of the response, since we can't predict it with an AR model anyway.

Simulate:

library(stats)
set.seed(101)
data <- arima.sim(n=1000,list(ar=0.1),mean=10)

Negative log-likelihood:

logl <- function(sigma,alpha,beta) {
   -sum(dnorm(data[-1],alpha+beta*data[1:length(data)-1],sigma,log=TRUE))
}

Fit:

library(stats4)
mle(logl,start=list(sigma=1,alpha=5,beta=0.05),method="L-BFGS-B")
## Call:
## mle(minuslogl = logl, start = list(sigma = 1, alpha = 5, beta = 0.05), 
##     method = "L-BFGS-B")
## 
## Coefficients:
##  0.96150573 10.02658632  0.09437847

Alternatively:

df <- data.frame(y=data[-1],ylag1=head(data,-1))
library(bbmle)
mle2(y~dnorm(alpha+beta*ylag1,sigma),
     start=list(sigma=1,alpha=5,beta=0.05),
     data=df,method="L-BFGS-B")

来源：https://stackoverflow.com/questions/18685629/manual-maximum-likelihood-estimation-of-an-ar-model-in-r

标签

estimation