mcmcsae (version 0.7.4)

maximize_llh: Maximize log-likelihood defined inside a sampler function

Description

Maximize log-likelihood defined inside a sampler function

Usage

maximize_llh(sampler, method = "BFGS", control = list(fnscale = -1), ...)

Value

A list of parameter values that, provided the optimization was successful, maximize the likelihood.

Arguments

sampler

sampler function.

method

optimization method, passed to optim.

control

control parameters, passed to optim.

...

other parameters passed to optim.

Examples

# \donttest{
n <- 1000
dat <- data.frame(
  x = rnorm(n),
  f = factor(sample(1:50, n, replace=TRUE))
)
df <- generate_data(
  ~ reg(~x, name="beta", Q0=1) + gen(~x, factor=~f, name="v"),
  sigma.fixed=TRUE, data=dat
)
dat$y <- df$y
sampler <- create_sampler(y ~ x + gen(~x, factor=~f, name="v"), data=dat)
opt <- maximize_llh(sampler)
str(opt)
plot(df$par$v, opt$par$v); abline(0, 1, col="red")
# }